Senior Quant Analyst (Market Risk FRTB) Full Time

Experis IT

Title: Senior Quant Analyst/Developer (Market Risk FRTB)

Location: Canada Square, London (hybrid working – twice a week in office is required)

Daily Rate: up tp £900 Inside IR35 via Umbrella (Danbro, Focused, Paystream)

Duration: 6 months minimum – most likely extended till end of the year (with a further extension possibility)

EXPERIENCE REQUIRED

(Please mention the following experiences/skill set/qualification clearly in your CV as that would help during the screening stage)

• Masters level in Math/Science/Engineering/IT discipline
• Experience in FRTB
• Experience in Market Risk
• Clear and demonstrable familiarity with key market risk measures and regulations
• Good knowledge of derivative products, pricing and risk models (for Equity and FX in particular, but other asset classes would be a plus)
• Advanced programming skills in Python. Knowledge of C++, Matlab and/or R is a plus although not a prerequisite
• Experience with software build systems, version control (Git, GitHub) and issue trackers (JIRA). Experience in agile workflow is a plus
• Ability to write clear and understandable technical documents
• Proven experience successfully collaborating with others in a change driven environment, particularly technology, internal controls and project management teams
• Ability to investigate and explain large IT platforms with little documentation, and to replicate them at prototype level
• May lead and guide more Junior Analysts

Open personality and effective communication skills, ability and flexibility to work in an international team

ROLE OVERVIEW:

This is a senior role responsible for development and analysis of market risk (MR) models. The core objectives are

• Develop/re-design market risk models (especially for Equity and FX products) for accurate measurement of IMA FRTB, etc. as per internal risk and regulatory requirements
• Understand both regulatory and business requirements and propose models that are fit-for-purpose
• Liaise with Risk Transformation and Financial Engineering teams- starting from defining the objectives to model development/testing, building the model in Python, model documentation, on-going model assessment and validation as well as internal & regulatory scrutiny
• Act as an SME (Subject Matter Expert) in pricing & risk computations for Equity and FX products and liaise with both Front Office Traders, Quants and Traded Risk

Proactively build tools in Python to test the proposed models, to formulate requisite analysis and to measure the impacts of model change.

• Must be able to work autonomously and be able to meet tight deadlines.
• Manage senior stakeholders, across business and Traded Risk
• The nature of the role requires close working contact with personnel across many different areas of business and risk and IT, in all regions of the Group
• The role is in the Global Risk Analytics (GRA) function within Traded Risk Analytics. This area is responsible for the definition and development of risk measures, models, related policies, and strategy for managing risk. This includes the development, refinement, review and on-going validation of risk measures and models used within the HSBC Group

The jobholder will also continually reassess the operational risks associated with the role and inherent in the business, taking account of changing economic or market conditions, legal and regulatory requirements, operating procedures and practices, management restructurings, and the impact of new technology.

This will be achieved by ensuring all actions take account of the likelihood of operational risk occurring.

Also by addressing any areas of concern in conjunction with line management and/or the appropriate department.