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Quantitative Risk Analyst

Division Winterflood Securities
Location London
Salary Competitive
Mergefield Title {Mergefield Value}

This is a {Advertised Permanent / Temporary}, {Advertised Full Time / Part Time} vacancy that will close in {x} days at {xx:xx} BST.

Quantitative Risk Analyst

A leading Market Maker is seeking an experienced Quantitative Risk Analyst, who will enjoy a unique role, split between Market Risk (40%), Model Validation (40%) and Counterparty Risk (20%).

Working directly with the Deputy Head of Risk assessing Market, Counterparty and Model Risk across the firm, the incoming new hire will line manage a Graduate Risk Analyst.

Key Responsibilities:

  • To assist in managing the company model risk framework and conduct validations of the company models and high-risk end user computing tools.
  • To offer constructive, independent technical check and challenge at committee level, where appropriate.
  • Work to ensure independent reviews of new and existing models, including but not limited to quantitative trading models and algorithms are completed.
  • Understand model purpose, the underlying mathematical model, its implementation, and its deficiencies. Understand the model behaviour under stress. Ensure rigorous testing of new and existing models to assess comprehensiveness of risk representation, suitability for intended use, robustness and stability of calibrations, ongoing performance vis-à-vis risk factor and portfolio back testing, and reasonableness of simulations vis-à-vis other distributional tests.
  • Ensure the Application of quantitative and qualitative techniques to model validation, this can include independent implementation of the model.
  • Aid in proposing solutions to model deficiencies.
  • Good written and verbal communication of validation work.
  • Structure the current state of validation, assurance, and approval status of models.
  • Structure model documentation, extending documentation where necessary with the team to meet basic model documentation standards.
  • Aid new modelling by providing coding reviews and proposing model improvements.
  • Carry out model risk management tasks with a view to the auditability of model assurance.
  • To provide expert support and guidance to all stakeholders on model development and validation activities, to help ensure the business model risk operating model is consistently adopted in processes and procedures, and to help model owners, users and developers understand minimum standards, make use of templates, etc.
  • Research statistical techniques to estimate model parameters, including volatilities of risk factors and their correlations, and to validate use of appropriate proxies and fall-back parameters.
  • Benchmark particular model components such as parameter estimation methods or pricing models to justify against alternative approaches.
  • Document models, methodologies, analyses, and findings to the Group’s standard.
  • Identify key areas for business assistance and implementation of the models.
  • Review and provide guidance on existing and to-be developed model documentation.
  • Keep up to date on regulatory changes, quantitative techniques, and industry practices.
  • Ensure that all Governance and Compliance requirements are adhered to and all reporting and reviewing activities required by the Regulatory Bodies are carried out to the standards required
  • Assist in the day-to-day delivery of the Company Market and Counterparty risk framework.
  • Assist in developing the market and counterparty risk framework. Ensuring that risk metrics are applicable to the current trading book, models used are tested prior to implementation and developed in line with current industry best practice. Take a lead on projects to develop the departments systems.
  • Be a Liaison to the front office.
  • Reviewing market risk positions, particularly under potential risk scenarios, and raise challenges to the desk if necessary. Liaising closely with the businesses to understand market trends and to report exposure under different market conditions.
  • Work to improve the departmental management information capability and produce the required MI to the Board of Directors on a timely basis.
  • Provide additional ad-hoc business support where appropriate.
  • Remain up to date in respect of regulatory obligations impacting the Company risk appetite and its regulatory responsibilities in respect of market and Counterparty risk.
  • Work with the risk team and the company Group function to develop Pillar 1 models for market risk capital calculations and Pillar 2 capital calculations for ICAAP.
  • Behave at all times in line with Winterfloods ‘Vision and Values’.

Additional Projects:

  • To assist in managing the company’s market, counterparty and model risk frameworks.
  • Work to complete independent reviews of new and existing models, including but not limited to quantitative trading algorithms.
  • Understand a model’s purpose, the underlying mathematics, its implementation, its deficiencies and behaviour under stress. Ensure rigorous testing of new and existing models to assess comprehensiveness of risk representation, suitability for intended use, robustness of calibrations, ongoing performance, portfolio back testing, and reasonableness of simulations against other distributional tests.
  • Aid in proposing solutions to model deficiencies.
  • Structure model documentation, extending documentation where necessary with the team to meet basic model documentation standards.
  • Document models, methodologies, analyses, and findings to the Group’s standard.
  • Keep up to date on regulatory changes, quantitative techniques, and industry practices.
  • Provide insight on the firm’s market risk positions to the front office.
  • Develop market risk metrics relevant to the firm’s trading strategy.
  • Assist in setting market risk limits across instruments, books and desks. Where those limits are exceeded, challenge the trader on these breaches.
  • Build relationships with the front office to understand market and counterparty risk trends.
  • Own the counterparty risk model, implementing new limits across the firm’s counterparties.
  • Work to improve the departmental management information capability and produce the required MI to the Board of Directors on a timely basis.
  • Provide additional ad-hoc business support where appropriate.
  • Remain up to date in respect of regulatory obligations impacting the company’ risk appetite and its regulatory responsibilities in respect of market and Counterparty risk.
  • Work with the risk team and the Group to develop Pillar 1 models for market risk capital calculations and Pillar 2 capital calculations for ICARA.
  • Behave at all times in line with Winterflood’s ‘Vision and Values’.

Required Skills

  • Experience in trading algorithm development/validation, or in market risk.
  • Strong analytical and computational skills, with great attention to detail, strong control mind-set with interest in investigating issues and develop solutions.
  • Programming skills (Excel, VBA, C++,Python, Java).
  • Ability to comprehend and interpret research and validation output to present in a clear and concise manner.
  • Good written and verbal communication & presentation skills.
  • Ability to interface with all levels in the business including senior management.
  • Good interpersonal skills and a team player.
  • Proactive and self-motivated.
  • Data management (SQL, Microsoft Access).
  • Basic knowledge of data software providers (Bloomberg, Reuters).

Winterflood Securities is a leading market maker committed to providing liquidity and flexible execution services to retail brokers, asset managers and institutional investors. 

Winterflood’s strengths are a combination of traditional trading values and the performance of our own cutting edge technology. Our experienced team of traders helps clients achieve high quality execution in over 15,000 tradable instruments including UK, European and North American Equities together with Investment Trusts, Exchange Traded Products, Fixed Income, Structured Products and Funds. Founded in 1988, Winterflood has gone from being a niche market maker in the UK Small Cap market, to a mature, diverse and major liquidity provider across multiple asset classes in the UK and European markets.

Winterflood is authorised and regulated by the Financial Conduct Authority. Winterflood Securities is a wholly-owned subsidiary of Close Brothers Group plc, a specialist financial services group which makes loans, takes deposits, trades securities and provides advice and investment management solutions to a wide range of clients. Close Brothers Group plc is listed on the London Stock Exchange and is a member of the FTSE 250.

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