Lunalogic UK is looking for an experienced Marlet Risk Quant analyst to contribute to ensuring the bank complies with regulatory requirements on IMA (Internal Model Approach) models for market risk. Specifically the role will entail performing the necessary research and deliver the developmental evidence in order to assess model risk around market risk capital measures, such as the Incremental Risk Charge Measure (IRC) and the Comprehensive Risk Measure
(CRM). The successful candidate will be responsible for documenting, testing and analysing the impact of modelling assumptions to support the review by model validation functions or regulatory bodies. Accordingly, the role does require a solid quantitative background in market risk or credit risk modelling. Working in close partnership with quantitative analysts within our client’s Risk Management Department, risk analysts and FO, the successful candidate will be expected to:
• Contribute to the delivery of the methodology projects, gathering and documenting requirements, considering all stakeholders’ interest, regulatory requirements and any potential deficiencies in the current methods exposed by quality assurance;
• Investigate, analyse and design risk methods to measure model performance and model risk
• Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for the production environment;
• Ensure the risk methods are adequately documented to support internal reviews and validation by internal auditors or regulators, by providing sufficient developmental evidences (i.e. materiality studies, description of assumptions, benchmarking against external methodologies and justification of methodological choices); take the lead in ensuring the successful review by model validation teams.
To be successful in this role, the candidate should meet the following requirements:
• A strong academic background, with at minimum a Masters in mathematics, physics or quantitative finance;
• Proven experience in a quantitative finance environment, preferably in a market risk modelling capacity;
• Design and implementation of quantitative models, using C# or C++ in a source controlled environment;
• Knowledge of credit risk models (such as Incremental Risk Charge, Comprehensive Risk Measure and Default Risk Charge) and exposure to market risk methodologies will be favoured.
This role will expose the candidate to a wide range of professionals within the bank. Accordingly he / she will also require good communication skills (both written and verbal) and the ability to work proactively and as part of a multi-disciplinary team.