Quantitative Risk Analyst
Description
)Instrument modelling and risk
Model new and existing instruments in the risk system, ensuring correct pricing, cash-flow representation, attribution and sensitivity behaviour across the relevant valuation and capital bases.
Validate model outputs against independent benchmarks; investigate and resolve discrepancies between front-office, risk and finance views.
Maintain and extend the quantitative platform the team relies on — curve construction, sensitivities, scenarios and stress testing.
Monitor and oversee production of risk and attribution reporting from risk system.
Strategy formulation and execution
Be a part of the team formulating and operationalising investment, hedging and balance-sheet strategies — taking a proposal from analytical concept through to executable trade lists and ongoing monitoring.
Quantify the impact of proposed strateg...