Quantitative Analyst

Job DescriptionRole: Quantitative Risk Analyst - Portfolio StrategyCorporate Title: Assistant Vice PresidentSalary: up to £85,000, plus Bonus & BenefitsLocation: London with Hybrid WorkingOverviewThis is an excellent opportunity to join a leading quantitative team in a global bank that spearheads the design and development of cutting-edge models, empowering key business decisions and optimising capital deployment.Dive into exciting projects, collaborating closely with experienced Risk Modellers to help not only quantify the risks; but also measure the profitability of Client relationships and the assets related to those relationships.From building loan pricing models to enhancing stress testing methodologies, your contributions will make a real impact. Don't miss this opportunity to thrive in a dynamic environment where innovation meets excellence.Your RoleYour primary focus will be on constructing a loan pricing model and a client profitability forecast model, essential tools for guiding strategic business decisions regarding the effective deployment of capital.Key ResponsibilitiesAssist in the design and development of a new Loan pricing model as an extension to the existing Return on RWA (RoRWA) asset and client profitability model.Design and develop asset profitability models based on EVA, RoRWA and ROE.Design, develop and support a loan/customer profitability forecasting tool.Re-design and implement a new RoRWA model through the introduction of multi-year forecasting, probability weighting, and scenario modelling regulatory changes.Produce portfolio analytics covering capital contribution for both Economic Capital and Regulatory Capital.Develop and enhance stress testing calculation for Pillar 2B including IFRS 9 models and produce credit stress testing methodology documentation that complies with regulators and audit requirements.Engaging in ICAAP workflows and contributing to the refinement of Climate Risk models, while addressing inquiries in the independent model validation process.Collaborating on the development of stress testing methodologies for the bank's portfolio, ensuring methodologies remain relevant and align with the latest regulatory and audit mandates, while ensuring meticulous documentation accuracy.Your BackgroundBSc/MSc Degree in a quantitative field (Finance, Mathematics, Economics, Engineering etc.)Experience in credit risk analytics or quantitative research within financial services.In-depth understanding of RORORA, EVE, and ROE and how a profitability model can be developed using these concepts.Experience with developing loan pricing tools and RoRWA profitability forecast tools.Proven track record of designing and building models from concept to implementation.Working knowledge of SQL and other programming languages (R, SAS, Python etc.)Excellent Excel and Access Skills, ideally knowledge of PowerBi / Tableau.Key Words: Profitability Models, Loan Pricing tools, Profitability Forecast tools, RWA Optimisation, quantitative research, credit risk analytics, SQL, R, Python, SAS
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