Quantitative Risk Analyst Job Description
Quantitative Risk Analyst Duties & Responsibilities
To write an effective quantitative risk analyst job description, begin by listing detailed duties, responsibilities and expectations. We have included quantitative risk analyst job description templates that you can modify and use.
Sample responsibilities for this position include:
Quantitative Risk Analyst Qualifications
Qualifications for a job description may include education, certification, and experience.
Licensing or Certifications for Quantitative Risk Analyst
List any licenses or certifications required by the position: FRM, CFA, PRM, CQF, PMP, CPA, ISA, QSA, CISA, CISM
Education for Quantitative Risk Analyst
Typically a job would require a certain level of education.
Employers hiring for the quantitative risk analyst job most commonly would prefer for their future employee to have a relevant degree such as Master's and Bachelor's Degree in Mathematics, Statistics, Finance, Engineering, Physics, Economics, Sciences, Management, Computer Science, Quantitative Finance
Skills for Quantitative Risk Analyst
Desired skills for quantitative risk analyst include:
Desired experience for quantitative risk analyst includes:
Quantitative Risk Analyst Examples
Quantitative Risk Analyst Job Description
- Apply advanced machine learning techniques to identify investment opportunities from structured and unstructured data sets
- Develop and specify the internal market risk models and time series
- Understand risk models (ES/VaR & RNIV) currently in use and the proposed regulatory changes
- Collaborate closely with the data team to ensure that the historical data used in all calculations are appropriate
- Develop and enhance stress testing methodology to satisfy various regulatory requirements (CCAR/DFAST/ICAAP)
- Responsible for Independent Model validation and performance monitoring such as assessing the conceptual soundness, evaluating model assumptions and data integrity, testing model numerical, statistical, and/or computational accuracy, performing outcomes analysis, and reviewing model governance and control process
- Verify model performance, correct implementation, limiting behaving, and response to stress/extreme input condition-stress testing
- Support relationship with regulators and internal audit
- Validates risk rating models across the bank
- Assesses a model back-testing process
- Familiar with vendor systems, QRM, BlackRock Aladdin, MUREX, Moody’s Risk Frontier, etc
- Familiar with vendor systems, QRM, BlackRock Aladdin, MUREX, MOody's Risk Frontier
- Ability to show good judgment of risks and an understanding of risk areas covered, including markets, models and products
- Ability to develop strong working relationships and to communicate clearly, both in writing and verbally
- Experiences in the following will be an asset
- VAR & CVA
Quantitative Risk Analyst Job Description
- Represents the Fixed Income risk management practices and policies to investment professionals and external clients / parties
- Develops risk management and surveillance solutions
- ODevelops risk methodology and scenario analysis capabilities to enhance risk assessment in Fixed Income portfolios
- ODevelops top down and bottom up portfolio risk reports to identify and monitor the major risks in portfolios
- OEvaluates, maintains, and validates third party analytic systems (attribution, tracking error, ) and valuation models (interest rate, prepayment, credit)
- OPerforms quantitative analyses and provides recommendations to develop system solutions required for client, internal and regulatory risk analysis
- Model risk management activities include, but are not limited to, model validation such as assessing the conceptual soundness, evaluating model assumptions and data integrity, testing model numerical, statistical, and/or computational accuracy, performing outcomes analysis, and reviewing model governance and control process
- Document and present observations to the AMRM team and to model owners and users, recommend management action plans, and track remediation progress
- Develop tools for portfolio analytics (cash, sensitivities, prices)
- Collects, analyzes, and interprets financial data
- Suitable candidates will have an excellent academic background, including a degree in a quantitative discipline, such as economics, finance, statistics/mathematics, sciences or engineering (or equivalent), higher degree or PhD related to any of the above areas
- Strong knowledge of pricing complex derivatives and performing advanced statistical analysis on underlying risk factors (returns’ distribution, volatility, correlations)
- Preference will be given to candidate who can demonstrate the ability in developing risk models like Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, Liquidity Risk models
- The candidate should also have had academic experience in probability theory, stochastic processes
- Extensive knowledge of financial markets, products, methodologies and financial analytics including an understanding of the key concepts of derivative instrument pricing and risk measurement
- A major in mathematics, statistics, industrial engineering, accounting, economics, business administration, finance, or other fields related to the financial services industry
Quantitative Risk Analyst Job Description
- Interact/Liaise with model users, developers, model reviewers IT and Implementation team
- Build and program monitoring templates in a determined monitoring framework
- Developing risk assessment scoring models and workflow tools, including development, testing, quality assurance, deployment, and maintenance
- Assisting in further development of OFAC risk analytic techniques and data management strategies
- Leverage understanding of the fundamentals of interest rate risk management to evaluate ALM measurement techniques
- Provide effective challenge on key model inputs, and perform assumption sensitivity on key variables
- Coordinating weekly meetings to communicate important updates to the Chief Market and Liquidity Risk Officer
- Ad-Hoc analysis on a wide variety of interest rate/FX risk projects
- Research and develop models for asset valuation and return forecasting
- Assist senior quantitative analyst with development and back testing of quantitatively oriented investment strategies
- Assist in the provision of quantitative outcomes required to achieve excellent audit outcomes
- Prepare audit documentation on quantitative issues & explicit role in liaising with auditors as a quantitative SME as required
- Clear communication of quantitative concepts to support mandate & alignment of team to a common objective
- Maintaining current and detailed knowledge of financial mathematics (and related mathematical and statistical fields)
- Maintaining current and detailed knowledge of the application and implementation of relevant models and approaches
- The ideal candidate should have strong previous experience gained in a similar role at a banking institution
Quantitative Risk Analyst Job Description
- Work closely with business units on new analytics requirements
- Conduct Independent Model Reviews and Model Validations
- Contribute to the operational running, maintenance and upgrade of this program once implemented
- Contribute and play a major role in other aspects of regulation including derivatives risk management and stress testing, as they develop
- Contribute to CSIM’s multi-faceted Investment Risk Management Team by applying your own unique education and experience to problem solving
- Risk Driver Simulation tool re-design and development
- Proactively conducts portfolio reviews to identify key risks in portfolios
- Advises Portfolio Managers on the risk characteristics of their portfolios
- Communicates ideas and recommendations to Portfolio Managers to influence portfolio construction decisions
- Performs quantitative analyses and provides recommendations to help formulate internal portfolio risk guidelines
- Strong C++ or related language skills
- Excel / Access VBA skills
- A keen interest in regulation
- Review, verify and validate financial models for theoretical soundness, testing design and identification of model weaknesses, ensuring ongoing monitoring contribute in the firm-wide model risk and control assessment
- A university degree (PhD or MSc) in a quantitative field (econometrics, mathematics, physics or engineering)
- Review the appropriateness of methodologies, modeling choices, assumptions, parameters and data inputs
Quantitative Risk Analyst Job Description
- Undertakes a variety of ad hoc analytical projects as needed to support Enterprise Risk Business Unit
- Will work with more seasoned individuals in the team to solve complex issues
- Lead Enterprise Analytical Engagements, including the development of models and analytical tools, production of impeccable documentation and interaction with the Model Risk Management team
- Support the fixed income investment teams by providing effective and relevant analysis
- Maintain and enhance the measurement and reporting of risk and performance – both quantitative and qualitative
- Generate appropriate analysis to ensure that the drivers of fund performance are understood
- Enhance the workflow efficiency of the risk management team through internal coding and software development
- The role is in the Financial Model Risk team which assesses and quantifies the model risk of derivative pricing, market risk (VaR), ALM behavioural and Pillar 2 internal capital models in the bank
- Results Focus – Level 1 - Maintains a clear focus on agreed goals to achieve expected results
- Teamwork and Collaboration – Level 1 - Contributes fully, shares information, ideas and opinions – never a solo player
- Strong knowledge in MS Excel, PowerPoint and data mining tools (Access, SQL, SAS, Tableau, BO)
- Excellent scientific and technical presentation skills, assertiveness and influencing skills
- Must be extremely focused, detail oriented, results oriented and highly productive
- Minimum of 2 years quantitative analytics experience in the Energy industry
- Proven experience in a quantitative finance environment, preferably in a market risk or counterparty risk modelling capacity
- An advanced Master's degree in mathematics, finance, computer science, statistics, operational research, or other quantitative fields