Junior Quantitative Risk Analyst in London

WHO WE ARE

Quanteam Group is a Consulting firm specialised in the Capital Markets industry, in Paris, London, Brussels, New York and North Africa.

Since 2007, our 800 consultants provide major clients (Corporate & Investment Banks, Asset Managers, Hedge Funds, Brokers, and Insurancepanies) with expertise in several projects such as Financial Engineering, Quantitative Research, Regulatory Implementation, IT Transformation & Innovation.

The firm mainly takes part in:

As part of Quanteam Group, Quanteam UK (incorporated in 2010) has today more than 80 consultants, working for major Capital Markets institutions in London.

OVERVIEW

The client is one of the world's leading financial groups. Headquartered in Tokyo and with approximately 350 years of history, it is a global network with around 2,300 offices in over 50 countries including the Americas, Europe, the Middle East and Africa, Asia and Oceania, and East Asia. The group has over 150,000 employees, offering services includingmercial banking, trust banking, securities, credit cards, consumer finance, asset management, and leasing.

As one of the top financial groups globally with a vison to be the world's most trusted, we want to attract, nurture and retain the most talented individuals in the market. The size and range of the client's global business creates opportunities for our employees to stretch themselves and reap the rewards, whilst ourmon values, to behave with integrity and responsibility, and to build a culture which is fair, transparent, and honest, underpin everything that we do. We aim to be the financial partner of choice for our clients, whatever their requirements, building long-term relationships, serving society, and fostering shared and sustainable growth for a better world.

Please visit our website for more information - mufgemea

Risk Analytics Group (RAG) is a specialized area in the Risk Department with the team head reporting to the local and international CRO. The team members have strong quantitative skills and are responsible for Market Risk Models, Capital Models, Counterparty Exposure models and banking book credit models.

The Market Risk & Capital metrics sub team of RAG sub team of supports Market Risk models that support VaR/IRC and related capital metrics, for internal control as well as regulatory capital and the transition to FRTB regulations.

RESPONSIBILITIES

The role will mostly be to support the firm’s change of market risk capital model to Fundamental Review of the trading Book - Standardised Approach (FRTB-SA), consisting of Sensitivity Based Method (SBM), Default Risk Charge (DRC) and Residual Risk Add-on.

Keys tasks will involve analysis, testing of assumptions and writing documentation for an uing regulatory application for model permissions, and ensuring the model is developed in line with regulatory requirements and industry best practice. Would also involve prototyping solutions where the model requires enhancement, and specifying these for the strategic implementation by Risk Technology.

The project will involve working closely within risk analytics, front office quants, market risk management, IT developers, project management and risk model validators.

• Quantitative analysis and review of model assumptions, data, and results

• Specifications for revised approach for updated approach to meet FRTB regulations

• Checking the adherence to regulatory requirements, plan changes where there are model weaknesses

• Specify and test system changes to implement improvements

• Writing risk model developer documentation

• Ad-hoc projects as required

WE ARE LOOKING FOR A CONSULTANT with

Essential:

• Experience in pricing

• Knowledge of financial products (swaps, options, CDS, bonds…)

Desirable:

• Experience with sensitivities (Greeks)

• Previous experience in FRTB Standardised Approach

Essential:

• Background in Math applied to finance / Data Science / Statistics

• Knowledge of FRTB requirements

• Understanding of financial markets and products including derivatives

• Familiarity with principles of pricing derivatives

Desirable:

• Up-to-date knowledge of industry standards

• Programming in Python or R or equivalent

Education:

• A Postgraduate degree in a quantitative discipline (, statistics, mathematics, mathematical finance, econometrics)

• Strong problem solving skills

• Strong numerical skills

• A structured and logical approach to work

• Excellent attention to detail

• Excellent written and oralmunication skills

• Ability to clearly explain technical matters

• A pro-active, motivated approach

MINIMUM REQUIRED QUALIFICATIONS:

A Postgraduate degree in a quantitative discipline (, statistics, mathematics, mathematical finance, econometrics)