Risk Quantitative Analyst Job Description
Risk quantitative analyst
provides independent review and risk management of risk and capital models with a special focus on credit risk.
Risk Quantitative Analyst Duties & Responsibilities
To write an effective risk quantitative analyst job description, begin by listing detailed duties, responsibilities and expectations. We have included risk quantitative analyst job description templates that you can modify and use.
Sample responsibilities for this position include:
Strong knowledge of Excel with VBA and a good working knowledge of Word and Powerpoint experience with SAS or R SQL will be highly regarded
Build and manage stress testing models for CCAR
Performing stress testing, backtesting, sensitivity analysis, scenario analysis
Check the conceptual soundness of the models, assess data quality and integrity model assumptions, and perform stress testing
Assess the soundness of model inputs, assumptions, methodology and conceptual framework
Creating models which capture market risk
Making sure those models adhere to regulatory guidelines
Implementing market risk models in IT systems
Describing and documenting models for regulators
Establishing policies and processes covering market risk
Risk Quantitative Analyst Qualifications
Qualifications for a job description may include education, certification, and experience.
Licensing or Certifications for Risk Quantitative Analyst
List any licenses or certifications required by the position: FRM, CFA, PRM, CQF, PMP, CPA, ISA, QSA, CISA, CISM
Education for Risk Quantitative Analyst
Typically a job would require a certain level of education.
Employers hiring for the risk quantitative 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 Risk Quantitative Analyst
Desired skills for risk quantitative analyst include:
Consumer credit products
Microsoft Office
Object oriented programming language
Relational databases and structured query language
Risk and modeling of financial products in asset classes
Rules to calculate risk weighted assets for regulatory capital
SQL
Statistical analysis tools
Credit servicing systems
Models so as to be the department’s subject matter expert on models
Desired experience for risk quantitative analyst includes:
Highly quantitative skill set, evidenced with higher degrees in maths/physics/engineering
Bachelor’s Degree in Finance, Economics, Mathematics or Computer Science or equivalent combination of education and experience
Good communication skills in describing how a credit risk management system will address a banks credit portfolio management, stress testing and credit risk model validation
A recent degree in a relevant discipline
PhD or Master's degree in a quantitative subject
Work experience in credit risk modelling is an advantage, ideally in credit portfolio modelling
Risk Quantitative Analyst Examples
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Risk Quantitative Analyst Job Description
Job Description Example
Our innovative and growing company is looking for a risk quantitative analyst. To join our growing team, please review the list of responsibilities and qualifications.
Responsibilities for risk quantitative analyst
- Review, test and independently implement market and operational risk models (there will be opportunities to work on other types of models over time)
- Review, test and independently implement pricing, risk and/or stress test models, with particular focus on interest rates and currencies
- Prepare regular model review documentation for internal use for submissions to external regulators
- Review and update model documentation (methodology guide, user guide, policy documents, performance monitoring and maintenance guide )
- Ensures the company’s model risk management efforts meet industry best practices, regulatory requirements
- Facilitate common understanding of model methodology and functioning amongst diverse audiences including Regulators (Federal Reserve Bank), Senior Management, Credit practitioners, Model Users, Model Developers, Auditors Research and analyze information about alternative practices
- Provide analytical support with validation/revalidation of wholesale market pricing models (50%)
- Provide quantitative analysis and problem solving on wholesale market issues (25%)
- Contribute to the development of the Market Risk Quantitative pricing library (25%)
- Identify all sources of market data
Qualifications for risk quantitative analyst
- Project management and prioritization skills will be key in balancing daily deadlines with timely implementation of strategic projects
- Strong foundation of investment knowledge, including an understanding of hedge fund strategies, capital markets, market indexes, and various investment securities
- Must have PhD in Maths / Physics or relevant topic (or potentially a good MSc)
- Ensure that all risk models are adequately documented for both internal and external
- First degree in mathematics, theoretical physics, econometrics, statistics or engineering, followed by a Ph.D / MSc
- Experience in a financial risk environment
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Risk Quantitative Analyst Job Description
Job Description Example
Our company is looking for a risk quantitative analyst. If you are looking for an exciting place to work, please take a look at the list of qualifications below.
Responsibilities for risk quantitative analyst
- Assist with implementing security price and fundamental data infrastructure
- Assume responsibility and be the point person for operation and maintenance of internally developed Credit Risk Model
- Build and operate surveillance tools that provide insights into risk concentrations and performance trends across asset classes, sectors, regions and securities
- Partner with the Risk Management team for quantitative credit risk and private asset risk modeling and monitoring
- Interacting with key stakeholders from Credit Risk, Portfolio Management and Research to build knowledge to understand risk and return drivers, design and run periodic reports and/or models that provides analysis of these drivers
- Effectively communicate model results and findings to the broader organization and to senior management
- OProactively conducts portfolio reviews to identify key risks in portfolios
- OAdvises Portfolio Managers on the risk characteristics of their portfolios
- OCommunicates ideas and recommendations to Portfolio Managers to influence portfolio construction decisions
- OPerforms quantitative analyses and provides recommendations to help formulate internal portfolio risk guidelines
Qualifications for risk quantitative analyst
- Knowledge of financial models and methodologies including interest rate modelling and Monte Carlo
- Expert Excel and Access
- Graduate University in quantitative discipline, MSc, MA, MMF or Ph.D
- Programming languages (C++/Java/VB/Matlab)
- Must have a Master’s degree in Statistics, Mathematics, Economics, Quantitative Finance, Engineering or other quantitative disciplines
- Must have 2 years of experience in the job offered or 2 years of experience in statistical quantitative analysis positions
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Risk Quantitative Analyst Job Description
Job Description Example
Our company is growing rapidly and is looking to fill the role of risk quantitative analyst. If you are looking for an exciting place to work, please take a look at the list of qualifications below.
Responsibilities for risk quantitative analyst
- Assist portfolio management by providing information and analysis used to make allocation and portfolio construction decisions
- Design and maintain quantitative models to estimate impact of stress scenarios on portfolio performance
- Support the creation, production, and delivery of portfolio risk analysis to internal and external audiences
- Perform ad-hoc analysis and reporting to address pressing questions and concerns from senior members of the investment and risk teams
- Partner with investment personnel to provide timely answers to client inquiries
- Business as Usual models used by different businesses to make business and operating decisions
- CCAR models
- Some of the above models are also managed internationally and the team members will interact with globally located teams (Spain, UK…)
- A prerequisite for successful ongoing monitoring is the understanding of model use in the context of business decision making the interactions among models where multiple models are used within the same process
- Help the Ongoing Monitoring team lead to support the US businesses to conduct model monitoring activities and ensure model risks are correctly identified, assessed and captured through reporting (K-S, Gini, PDO, Scorecard distributions….) and back-testing
Qualifications for risk quantitative analyst
- Strong computational finance skills - software development and programming (C/C++,VBA) in Windows and Unix will be highly regarded
- Sound understanding of Stochastic Calculus, Monte Carlo Methods, Probability/Statistics, Partial Differential Equations and Numerical Methods
- Advanced degree in a numerate discipline
- Focus on the specification and implementation of risk models within Markets Risk systems
- Proactively remediate outstanding risk methodology issues including participation in risk methodology discussions with model developers (inclusive of third party vendors)
- Maintain relationships with Risk Managers to maximise the flow of technical and practical knowledge within the Group
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Risk Quantitative Analyst Job Description
Job Description Example
Our company is growing rapidly and is searching for experienced candidates for the position of risk quantitative analyst. Thank you in advance for taking a look at the list of responsibilities and qualifications. We look forward to reviewing your resume.
Responsibilities for risk quantitative analyst
- Maintain and enhance optimization models and assist with strategic and intermediate horizon asset allocation
- Development, calibration, prototyping and documentation of risk models and risk management techniques to meet the needs of front-line risk managers
- Analyse historical data in order to determine trends within the hedge fund industry and production of reports to summarize this information for clients and senior management
- Develop stress tests for regular reporting and in response to specific events, such as upcoming elections or referendums
- Ad hoc analysis of new positions to assess the risk on the account and the impact on the risk profile of the division
- Provide ad hoc counterparty risk advice for new exotic derivatives
- Work closely with development teams to ensure accurate integration of new risk methods into the risk platforms
- This role will suit a candidate who thrives on working in a fast paced environment where their work has high impact
- Develop and Implement risk models for the MBS portfolio
- Develop risk and performance analytics models
Qualifications for risk quantitative analyst
- In-depth knowledge of mathematical finance and statistical methods
- Proficiency with standard statistical software
- Solid technical skills are required, such as risk system/model implementation in C/C++, Matlab VBA, or Java programming languages
- Tertiary qualification in Mathematics or in a quantitative physics/engineering field with honours
- PhD or Masters qualifications will be highly regarded
- Quantitative knowledge on product pricing algorithms (advantageous)
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Risk Quantitative Analyst Job Description
Job Description Example
Our company is hiring for a risk quantitative analyst. To join our growing team, please review the list of responsibilities and qualifications.
Responsibilities for risk quantitative analyst
- Relays risk management processes and policies to external clients
- Develops risk methodology and scenario analysis capabilities to enhance risk assessment in Fixed Income portfolios
- Develops top down and bottom up portfolio risk reports to identify and monitor the major risks in portfolios
- Maintains the data integrity of our security level analytics for Fixed Income portfolios and benchmarks
- Evaluates, maintains, and validates third party analytic systems (attribution, tracking error, ) and valuation models (interest rate, prepayment, credit)
- Performs quantitative analyses and provides recommendations to develop system solutions required for client, internal and regulatory risk analysis
- Works with the Investment Group and technology associates to ensure the quality of the analytics used in our proprietary portfolio construction and trading applications
- Uses a variety of analytical resources, under the direction of senior management to design/develop/improve existing quantitative models/tools to help monitor and manage risk
- Keeps abreast of current issues in business operations and incorporates changing business needs into risk analysis
- Ability to think critically about broad range of potential investment risks, gathers relevant data and information systematically, can translate complexities and perceives relationships amongst data and trends
Qualifications for risk quantitative analyst
- Design different types of tests such as benchmark tests, back-testing, sensitivity analyses, , and
- Implement these tests with tools (such as R, Matlab or C++) to assess the soundness of models’ performance
- Assign ratings for each model by identifying the corresponding limitations, risks and issues
- Present validation results to Committees and periodically discussing face-to-face with the regulators
- Ensure model validation and documentation both use best practices, adhere to consistency and quality standards, and follow the guidance of corporate policies and procedures and regulatory requirements
- Opportunity to work within an innovative, international environment