Quant Risk Analyst

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We are heading up a recruitment drive for a global consultancy that require a Quant Risk Analyst to join them on a major banking project that’s based in Canary Wharf.

Quant Risk Analyst

Duration – 6 months

Location – Canary Wharf, London (Hybrid/twice a week in office)

Pay rate – £534

IR35 Status – Capgemini mandated PAYE

CV Deadline 12pm Tuesday 27th June

Quant Risk Analysts will work with FRTB IMA Business Analysts, Quant Analysts (Function) and Market Risk Business and IT resource, across all relevant Asset Classes, to determine requirements and document in Confluence/Jira around:

RTPL/PLAT, focusing on improvements to Risk/Hedge Curve Templates (HCT’s)/Grids to improve the distribution and correlation match between RTPL and HPL (PLAT).

ES/SES

RFET

DRC

This includes, but not necessarily limited to, focuses on:

Market Data/Time-series analysis

Risk Factor observability and focuses on optimising Risk Factor Eligibility Full Revaluation across FX Options, Structured Rates and additional asset classes.

Likely some focuses on Data Principles, including the 7 FRTB data principles.

PLEX output and required changes to PLEX, such as for Rates and Credit Bonds.

They can be either Quants Tool Agnostic – someone who understand the Risk Quants, applied Mathematical calculations for pricing models instead of working on tools like Python, Matlab, C++ etc Or Risk Quants with Tool Expertise, applied Mathematical knowledge with expertise on tools like Python, Matlab, C++ etc as the client applications are designed.