Analyst, Quantitative Risk Analytics

Purpose of Job
Analyst, Quantitative Risk Analytics (QRA) is a subject matter expert in mathematical / statistical pricing
models, manages numerical/quantitative techniques, with understanding of financial markets,
transactions, market data, exposure aggregation rules, IT system interdependencies, as well as the
ability to interpret and assess the reliability of the results and underlying models and factors. Under the
supervision of the Associate Director, the jobholder undertakes tasks, focused on market risk and/or
credit risk methodologies, models, controls and processes.
In addition, the Analyst also contributes to the provision of management information and risk analysis of
Banking & Treasury portfolios. The Analyst is accountable for reporting any outstanding data
anomalies/process to ensure continuous data/systems integrity under the Internal Control Framework
(ICF).
Background
Quantitative Risk Analytics (QRA) is a function within Risk Policy & Analytics (RPA) team of the Risk
Management department. The Team’s primary function is supporting the articulation of the Bank’s Risk
Appetite and developing informative Risk Measures and Analytics. The quantitative function is split into
the following teams:
• Credit Risk: Responsible for the identification, measurement, analysis and mitigation of the credit
risks taken by the Treasury and Banking, including exotic products, and engages with them to
provide advisory in the pre-trading structuring, collateral mitigants and portfolio what-if analysis, as
well as exposure management within agreed limits.
• Economic Capital & Stress Testing: Provides an internal estimate of overall and marginal
Economic Capital consumption to facilitate capital allocation and management and leads the
development and utilisation of the quantitative framework for the Bank’s stress testing exercises.
• Market Risk: Responsible for the identification, measurement, monitoring and mitigation of market
risks in the Treasury and Banking operations.
• Liquidity Risk: Monitor the liquidity risk measures under normal and stressed scenarios.
Facts / Scale
• Key relationships mostly with internal clients (IT, Finance, Treasury, Treasury Credit Risk
Management, Banking (FI)) and service providers (IT))
• No direct reports or budgetary responsibility
Accountabilities & Responsibilities
Depending on the area of specialisation, Analyst, QRA is responsible for all or most of the following:
• Produce credit, market or other relevant risk measures and interpretation of the results on a
regular basis. Identify and analyse portfolio concentrations and sensitivities, perform regular
checks with other information systems to ensure the Risk Management System integrity and
report any data anomalies and system-generated alerts to colleagues.
• Participate in projects with guidance from Principal and/or Associate Director, with the aim of
improving the existing modelling or to deliver bespoke analysis.
• Provide advisory pre-trading structuring, collateral mitigants and portfolio what-if analysis for
Treasury and Banking. Perform portfolio incremental exposure, sensitivities calculation and
liquidity haircut calibration. Develop and maintain programs enabling efficient checks and analysis
of inputs and outputs from both Treasury and Banking market risk systems including current
market data, time series of risk factors, trade details as well as risk measures and sensitivities.
• Maintain the proprietary automated tools required for risk factor parameters estimation, add-on
calibration, back-testing, PFE and/or Value-at-risk methodologies enhancement.
• Perform Economic Capital calculations and participate in the development and calibration of risk
systems.
• Perform the regular market, liquidity and/or credit risks operational processes, including the ICF
testing, valuation reconciliation, market risk factors parameters estimation, backtesting, add-on
calibration and impacts analysis on the portfolio exposures.
• Participate in the in-house analytical/pricing library implementation including new scenarios
generation models, pricing functions, sensitivities calculation or risk aggregations.
Knowledge, Skills, Experience & Qualifications
• Some relevant financial industry experience (typically an internship) from an investment or
commercial bank, private equity, asset management firm or financial consulting firm operating to
international standards.
• MSc in Quantitative Finance or Math/Sciences
• Strong quantitative skills in financial modelling and statistics/econometrics.
• Significant practical experience with the implementation of credit and/or market risk measurement
methodologies
• Good understanding of all major capital markets instruments across asset classes
• Extensive knowledge of industry best practice and the latest status of regulation in the field of
credit and/or market risk
• Good understanding of risk management and portfolio valuation techniques
• Plans work well, establishes suitable priorities, anticipates problems and responds in a timely
manner, meets deadlines.
• Ability to communicate well at all levels, from senior management to portfolio managers/traders,
risk managers, accountants, middle office and IT staff.
• Ability to work to deadlines and under time pressure.
• A positive attitude to problem solving, identifying solutions and finding ways to overcome
obstacles, if need be through compromise and consensus building.
• Proficient in at least one programming language : Python, R, SQL , C++.
• Knowledge of ActiveViam, Summit and/or Numerix desirable.
• Knowledge of devOps, agile development and Git desirable.