Quantitative Risk Analyst

London, United Kingdom
May 27, 2022
Jun 11, 2022
Job Function
Industry Sector
Finance - General
Employment Type
Full Time

Quanteam Group is a Consulting firm specialised in the Capital Markets industry, in Paris, London, Brussels, New York and North Africa.

Since 2007, our 800 consultants provide major clients (Corporate & Investment Banks, Asset Managers, Hedge Funds, Brokers and Insurance Companies) with expertise in several projects such as Financial Engineering, Quantitative Research, Regulatory Implementation, IT Transformation & Innovation.

The firm mainly takes part in:

Business consulting: Quantitative research, Risk management (e.g. Market risk, credit risk, counterparty risk), Banking regulations (e.g. Basel III, Solvency II, FATCA, EMIR, MiFID), Pricing & Valuation, Organisational Transformation & Process Improvement.
IT & Information systems consulting: Business Analysis, Project Management, Change management, Front Office Support (functional and technical), Development (e.g C++, Python, C#, Java, VBA), Financial Softwares (e.g. Sophis, Murex, Summit, Calypso), IT Transformation & Innovation.

As part of Quanteam Group, Quanteam UK (incorporated in 2010) has today more than 80 consultants, working for major Capital Markets players in London.


Our client, a French Global Investment Bank is looking for a Quantitative Analyst for their Quantitative Risk team.

SIGMA is the quantitative modelling team with overall responsibility for market, liquidity and counterparty credit risk methods within the bank. The team sits within RISK Models and Regulatory, which is part of the RISK Function of the group. The RISK Function is globally accountable for the definition of official risk policies and guidelines, as well as the quantification and monitoring of risks taken by the various business lines, to ensure alignment with the group's risk appetite.

Within RISK Models and Regulatory, SIGMA's mission is to develop and continually improve the group's risk models, to ensure the timely monitoring and accurate measurement of market and counterparty risks in the trading book. SIGMA is organised in four streams, each responsible for a given asset class (IRFX, Credit / Repo, Equity / Commodity) or transversal aspects of risk methods (Cross-Product), all being supported by a development architecture stream responsible for ensuring consistency across development activities.


The principle responsibility will be 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 SIGMA, 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.

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