The Equities Market Risk Quantitative team sits within Quantitative Research. This team is responsible for the quantitative framework of risk management (in particular VaR) and regulatory capital. It covers the Equities and Equity Finance trading portfolios.
It is responsible for methodology, the testing and implementation of analytics used to monitor, analyse the performance of the framework and also to enhance the analytics for the users, the coverage functions (trading, market risk). It works also closely with other Quantitative Research team members, coverage teams (Trading, Market Risk), Technology and Model Risk teams.
Take part in the implementation of the platform for the Market Risk & Regulatory Capital.
Carry out research projects in order to define methodologies and improve Market Risk and regulatory capital framework. Implement new methodologies and associated reporting.
Provide a quantitative support to the users (trading, market risks coverage teams).
Liaise with various functions such as Market Risk Technology, Market Risk Coverage, Market Risk VAR Modelers, Quantitative Research and Model Risk.
Take part in the methodology and documentation of the simulation, product and portfolio layers in compliance with SR11-07.
Required Skills and Experience
Excellence in Statistics (+ probability theory + stochastic processes).
Strong analytical and problem solving abilities.
Excellent communication skills, both verbal and written.
PhD or equivalent degree in Math, Math Finance, Engineering or Statistics.
Good understanding of derivatives valuation models.
Python or C/C++ programming experience.
Desirable Skills and Experience
Data Mining, Inference, Prediction.
Knowledge of VAR & FRTB modelling methods.
Trading or trading desk quantitative support, model validation (SR11-07), or model design experience.