Our client is full-service investment brokerage company based in the City. With an international presence and a strong compliance culture, they are an excellent employer.
THE RESPONSIBILITIES:
Create, distribute (automated) and review daily Market Risk reports to stake holders and senior management.
Prepare and review daily stress testing of clients.
Assist Market Risk Manager in developing stress testing models and scenarios.
Ownership of margining models for FX and CFD products in accordance with the current policy.
Developing, validation, maintaining and running team-developed models (e.g. reverse stress testing, benchmark projects) on a regular basis
Development and maintenance of in-house risk analytics library, such as back-testing methodology and procyclicality.
Perform mathematical/statistical analysis on timeseries and provide feedback on current market conditions.
Real-time risk monitoring of clients PnL.
BAU Data validation and maintenance.
Timely and accurate analysis of quantitative risk issues.
Contribute to improvements in existing risk management techniques and processes through the application of advanced quantitative methods.
Liaise with Front Office, client and senior stake holders regarding quantitative risk topics.
Adhere to Risk Management Framework.
Maintain departmental procedures.
EXPERIENCE REQUIRED:
5 years previous experience in a risk management role within financial services
Analytical background with knowledge of statistics (Degree in quantitative discipline preferred)
Understanding of modelling of risk; assumptions and limitations of models
Knowledge of Futures & Options, CFD’s, FX
Strong knowledge of SQL, VBA and Python
Advanced Excel knowledge
Working knowledge of Reuters
Ability to work under pressure
For further information please contact Natalie Antat
