Market Risk Quantitative Analytics Consultant (Contract)

LevelUP HCS; Greater London; On-site; GBP 60,000 - 100,000; Full time

Job summary

Join a forward-thinking investment banking firm as a quantitative analyst, focusing on market risk modeling for equity derivatives. This exciting role offers the opportunity to work with cutting-edge methodologies and collaborate with various teams to enhance risk models. You will assess model outputs, perform extensive testing, and document findings while adhering to strict regulatory standards. If you have a strong background in quantitative analysis and a passion for financial markets, this position offers a unique chance to make a significant impact in a dynamic environment.

Qualifications

• 5-8 years of experience in quantitative roles at financial institutions.
• Strong background in market risk models and methodologies.

Responsibilities

• Liaise with front office and market risk managers to implement market risk models.
• Document model implementation details and findings for validation.

Skills

Market Risk Models

SQL

Python

Statistical Testing

Communication Skills

Tools

Numerix

Bloomberg

Job description

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Risk Analytics – Equity market risk quantitative analyst

Our investment banking client is seeking an experienced quantitative analyst / risk modeler with 5 - 8 years of financial industry experience to join the Quantitative Risk team. Focus of this position is on Market Risk modeling for equity derivatives products.

Core Responsibilities:

• Act as the SME and liaise with front office, technology, and market risk managers to implement and maintain market risk models. Make key analytical decisions regarding market risk modeling for equity derivatives traded in Europe and Asia.
• Assess the appropriateness of the market risk model outputs by performing time series review, stationarity tests, Basel traffic light backtesting, VaR breaches explanation, P&L attribution tests, pricing model benchmarking, and quantification of model limitations (e.g., RNIV).
• Document model implementation details, tests, and findings for validation, adhering to the Firm’s Model Risk Management policies and framework.

Qualifications:

• Strong background in market risk models and methodologies (e.g., time series analysis, VaR methodologies and backtesting), with 5 - 8 years of experience in a quantitative role at a financial institution.
• Good understanding of equity pricing models and products.
• Proficiency in SQL and Python for data handling, statistical testing, and analysis.
• Excellent communication, presentation, and technical documentation skills.
• Ability to work independently without significant supervision.
• Experience with regulatory capital and economic capital models is preferred.
• Knowledge of Numerix and/or Bloomberg is a plus.

Seniority level

• Mid-Senior level

Employment type

• Contract

Job function

• Engineering, Finance, and Information Technology

Industries

• Investment Banking and Financial Services

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