Quantitative Risk Analyst

Responsibilities

• 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.
• 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 strategies across the relevant economic, accounting and regulatory metrics, an...