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Quantitative Risk Analyst

Information About This Job

Job Title: Quantitative Risk Analyst
Contract Type: Permanent
Location: London
Industry:
Contact Name: Adam Small
Contact Email: asmall@lawsonchase.com
Job Published: 6 months ago

Job Description

About The Role

The primary purpose of this role is to assist the Investment Model Oversight Manager in fulfilling their responsibilities with regards to safeguarding the organisation from model risk perspective within the second line of defence. In addition, the role holder will be expected to provide quantitative support to the broader Investment Risk Oversight team as required. This is a particularly varied and broad role that will provide the role holder the opportunity to engage with several parts of the business, cover a number of different models in various areas and expand their horizons in multiple aspects of risk.

The scope of the role will include, but not limited to, oversight of third-party market, liquidity and credit risk models, as well as the assessment of operational risks across internally built systems and models that support the Investment Process. The role holder will report into the Investment Model Oversight Manager who in turn reports to the Global Head of Investment Risk Oversight.

Please note that occasional travel to key business locations may be required. Training for further development will be provided as appropriate.

 

Key Responsibilities

  • Assist the Investment Model Oversight Manager in providing independent assessment and challenge on model frameworks, assumptions, inputs and limitations.

  • Assist the Investment Model Oversight Manager in forming views over improvement of current model risk policy and governance and enhancing efficiency in its application.

  • Quantitative support across Investment Risk Oversight team broader activity.

  • Detailed analysis of various risk systems end to end. This includes but is not limited to:

    • Risk measures calculation methodologies.

    • Review of all risk system documentation.

    • Review of all system capabilities and potential configurations.

    • Data accuracy and depth (equity time series, yield curve data, volatility surfaces etc).

    • Understanding of associated derivatives pricing models.

    • Stress testing methodology.

  • Deep dive into VaR back-test overshoots. Advise on P&L drivers and associate to risk factors and modelling taking place within the risk system.

  • Detailed analysis of other internally or externally developed Investment tools.

  • Testing of new functionalities/models within risk systems.

  • Preparing ad-hoc reports for senior management and sub-committees.

  • Follow-up with risk system vendors and internal stakeholders with regards to identified issues. Ensure improvements are delivered within estimated timeframes.

  • Some good house-keeping duties, such as ensuring models have appropriate documentation and validation evidence in place from both 1st and 2nd lines of defence point of view.

 

Skills & Experience

Essential:

  • Good undergraduate degree, preferably in a numerical discipline.

  • Experience in a buy-side financial institution.

  • Strong cross asset class knowledge with emphasis on derivatives.

  • Strong understanding of risk factors (e.g. ability to break down an investment into its risk factors) and risk models (e.g. VaR models, sensitivities, exposures).

  • Fundamental portfolio management knowledge (e.g. efficient frontier, hedging etc). Experience with equity factor models either academically or in practice is beneficial.

  • Knowledge of (any) risk systems. Good understanding of bottom-up functionality.

  • Strong Microsoft Office skills including VBA for Excel.

Desirable:

  • CFA/FRM/PRM certification or in the process of, will be advantageous.

  • Postgraduate degree or qualification in quantitative discipline will be advantageous.

  • Experience with regulations such as UCITS will be advantageous.

  • Stochastic models (e.g. GBM, Vasicek, CIR) / calculus (e.g. Ito’s lemma) knowledge would be beneficial.

  • Knowledge around alternative investments would be beneficial.

  • Working knowledge of investment systems: Bloomberg, Eikon, Factset.

 

Additional Skills

  • Accuracy & Numeracy.

  • Planning & Organisation.

  • Proactivity.

  • Ownership.

  • Willingness to take responsibility.

  • Good communication skills.

  • Ability to build strong positive relationships across stakeholders.

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