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Python Risk Quant Analyst Developer - Risk Valuation

London, United Kingdom
GBP650 - GBP700 per day + Inside IR35
Closing date
Sep 28, 2023

View more

Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
We are currently recruiting for a Risk Quant Analyst Developer to join the valuations group at a global investment bank in London.

The team aims to validate on a daily basis the P&L figures and to explain them with market moves, related risks as well as the impacts of the new trades booked and the events impacting these trades (corporate actions, exercises, fixings, etc.).

This is a hybrid role and will require equally strong python skills and business knowledge around risk, pnl and valuation.

Key Responsibilities
  • Deep analysis of Step Reval and Risk Based results as well as investigations of one-off and structural differences in order to identify and correct pain points (e.g. booking, market data, pricing, model, etc.) with the help of IT and Quantitative Research.
  • Definition and creation of tools helping to identify and highlight errors affecting the Production of P&L Explains (IT or Quantitative Research) affecting the correlation between Official P&L and Risk-Based explain or reducing the level of Risk-Based P&L validation.
  • Review and maintain Best Practices, procedures and user guides defining the list of controls which are expected to be followed in order to guarantee the accuracy of the P&L.
  • Design tools to help decision making, identification of necessary corrections and actions to be triggered in order to deliver accurate figures in the Explain.
  • Production of indicators allowing to follow the quality of the production, the reception and validation of P&L Explain results.

  • This is a hybrid role and will require strong python development skills coupled with strong business knowledge on Risk, PnL and valuations.
  • Good theoretical knowledge of derivative pricing
  • Working experience with PNL explains (Step Revaluation as well as Risk Based Explains) and good knowledge / understanding of risk factors (the "Greeks").
  • Python (Expert level)

Please submit your CV immediately in order to be considered for this role

Your International Talent Provider

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