job description from the credit role:
Description: We are a multi-national, middle-office, financial derivatives
team of 25 people based in three locations world-wide. The team covers all
aspects of model validation, model-related issues in trade approvals and
reserves for interest rates, equity, FX and credit products, assessment of
the impact of models on valuation, market, and credit risks. Together with
other teams, it also develops methodologies for aggregating market, credit
and operational risks, to provide bank-wide risk analysis for senior
management.
We are looking for a quantitative risk analyst to join our team in London
predominantly covering Credit derivatives and ABS products.
Primary areas of responsibility are
1. Validate models to detect, identify, and quantify risks in the area of
marking-to-market and risk management of model intensive products. Perform
product certification and approval of single trades. This involves, among
others:
- Reviewing new products with special emphasis on valuation and risk
management.
- Detecting misunderstood and/or understated risks.
- Identifying mis-specified models, i.e. mathematically correct models which
are not applicable to the given product and/or market.
- Highlighting the potential of use of wrong or inconsistent input values
for parameters, which are not readily quoted in the market (e.g., skew,
correlation, etc.).
- Identifying unnoticed market changes (e.g., new traded products) which
affect current valuation/risk management methods.
- Identifying the use of mathematically flawed models, quantifying errors,
and proposing more adequate solution.
2. Assist business unit control with the valuation of model-intensive trades
and quantitative issues, in particular to specify valuation adjustments
intended to capture model or parameter uncertainty.
3. Perform general risk management functions in close co-operation with
market risk: Assessment of positions with significant model risk or non-
standard risks (e.g., correlation risk or volatility skew risk), business
approvals for complex structures and other day-to-day activities.
Most projects contribute towards bank-wide standards for managing all risks
associated with investment banking. The impact of results can be substantial
depending on the quality of results, which are routinely passed on to
senior management.
Requirements - Strong background in financial mathematics
- Knowledge of financial markets/products and proven experience in a similar
role
- Ability to develop models in a timely manner, using innovation and common
sense
- Familiarity with C++ , Java, or Visual Basic
- Masters degree in a quantitative discipline (mathematics/physics) is a
prerequisite, PhD is highly desirable.
- Excellent written and interpersonal communication skills are critical. In
particular, the ability to explain technical topics to a non-technical
audience (e.g., explain how a certain model works without using equations)
- Organized, detail-oriented, self-motivated and respond well under pressure.
- Ability to work in a team, adhere to tight deadlines, develop and maintain
relationships
