Risk Analytics Manager Risk Analytics Manager …

in London, England, United Kingdom
Permanent, Full time
Last application, 01 Jun 20
in London, England, United Kingdom
Permanent, Full time
Last application, 01 Jun 20
A leading multi-asset risk management firm is looking for a risk analytics manager. This is an opportunity to make a difference in global financial markets every day working on industry-leading technology and risk management services that helps serve customers better. The pace is dynamic, the work is unlike any other firm in the business, and the possibilities are endless. Problem solvers, difference makers, trailblazers.The role will be part of the Quantitative Risk Management department, which is charged with researching, developing, implementing and supporting the analytics used for risk and default management.

These analytics include in particular

• Models (calibration, simulation, pricing, sensitivities, Value-at-Risk, liquidity, regulatory capital)

• Testing frameworks (back-testing, stress testing, unit and regression testing)

• Tools dedicated to clients’ portfolio management (sensitivities, risk reports, margin adequacy, collateral)

The successful candidate will lead the team responsible for the Risk Run Responsibilities across asset classes. He or she will also contribute to the Market and Liquidity Risk framework, and to feasibility studies on new products (including complex derivatives) for the benefit of senior management.

The role is divided into two key areas, project work and assistance on daily risk management tasks.

The role will be split 50/50 towards the Risk Management tasks.

  • Project work and SME input and implementation of Market Data and Risk related change/projects – Significant involvement is required for any development relating to instrument data or validation changes.
  • Analysis of the clearing data to look for trends and new business opportunities
  • BAU margin processing and SME support – Day-to-day validation of any suspect incoming market data. This mostly revolves around Bloomberg/Reuters interrogation/validation. In addition, SME duties are required as a middle agent between technology and the business.
  • Margin Management – Responsibility for end to end margin management
  • Risk Management Responsibilities – Responsible for the generation of daily, weekly, monthly risk reports, ad-hoc risk management tasks including default management. Limit monitoring, Market and static data management related to Risk Management.
  • Validation should be algorithmic and the role of the analyst would be to automate most of the tasks for both existing and new market and static data.

Key Skills

  • At least 5 years of work experience Risk Management, heading up a team of Risk Mangers and Market Data experts
  • Thorough knowledge of one or more risk model area's
  • Good knowledge of statistics, econometrics, financial mathematics, stochastic calculus or machine learning
  • Able to generate new ideas and to effectively communicate about these ideas
  • Highly experienced in modern programming languages (e.g. Matlab, Python) and statistical languages (e.g. SAS, R)
  • Affinity with data analytics, (pre)processing, and data handling
  • Experience with machine learning/advanced analytics techniques is an advantage.
  • Able to work under high pressure
  • Excellent team player with the ability to coach junior modellers
  • Bloomberg + Reuters data manipulation
  • Market and Liquidity Risk Management Experience