Quantitative Risk Job Description

Quantitative Risk Job Description

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Quantitative risk provides support to risk managers for ongoing monitoring and reporting of risk exposures for the Emerging Markets businesses.

Quantitative Risk Duties & Responsibilities

To write an effective quantitative risk job description, begin by listing detailed duties, responsibilities and expectations. We have included quantitative risk job description templates that you can modify and use.

Sample responsibilities for this position include:

Enhance existing risk models design/prototype new models across different asset classes (pricing, VaR, back testing, stress testing, liquidity)
Collaborate with Business Architects in the development and execution of requirement, architecture and design
Drive the transition of complex business analytics, data mining and regulatory reporting into innovative business-technology solutions and ensure consistency across traditional solution boundaries
Plans, architects, designs, analyze, and conduct POC for the proposed architecture design
Define design and implementation principles and Conduct POC for the proposed solution
Capacity planning, hardware sizing, preparing technology solutions road maps, with the Central Architecture Team, and establish standards & governance
Monitor and performance tune software applications and the systems on which they run
Make presentations to Internal and External Risk Committees to regulators
Enhance existing risk models design/prototype new models across different asset classes like OTC and Futures
Estimate upfront VaR and capital impact to manage Front Office Management Board expectations

Quantitative Risk Qualifications

Qualifications for a job description may include education, certification, and experience.

Licensing or Certifications for Quantitative Risk

List any licenses or certifications required by the position: FRM, CFA, PRM, PMP, CQF, CPA, ISA, QSA, CISA, CISM

Education for Quantitative Risk

Typically a job would require a certain level of education.

Employers hiring for the quantitative risk job most commonly would prefer for their future employee to have a relevant degree such as Master's and Bachelor's Degree in Statistics, Mathematics, Engineering, Finance, Physics, Economics, Quantitative Finance, Computer Science, Financial Mathematics, Management

Skills for Quantitative Risk

Desired skills for quantitative risk include:

Statistics
R
Stochastic calculus
Econometrics
Financial mathematics
Machine learning
Python
Financial markets
Industry best practices to quantify risk and aggregate exposures
SAS

Desired experience for quantitative risk includes:

Exceptional quantitative and solid programming skills
Comfortable working independently in team settings
Banking, finance, and securities industry operations from the perspective of banks broker/dealers
Bachelors Degree in Quantitative Discipline from a top institution or equivalent
6+ years of experience in Credit Risk with an investment bank, consultancy or trading operation
6+ years of experience covering calculation s of measures under Monte Carlo

Quantitative Risk Examples

1

Quantitative Risk Job Description

Job Description Example
Our innovative and growing company is looking for a quantitative risk. Please review the list of responsibilities and qualifications. While this is our ideal list, we will consider candidates that do not necessarily have all of the qualifications, but have sufficient experience and talent.
Responsibilities for quantitative risk
  • Develop, maintain and enhance econometric models for various R&D projects, such as macro-economic linkage model and stress testing methodology
  • Communicate audit findings to senior management of model development, validation, and governance groups
  • Carry out validation of models in wholesale and retail credit risk
  • Analyse and indentify risks in models
  • Document and communicate the risk of models and provide recommendations on how to correct this to senior management
  • Perform maintenance of the risk models and develop high-quality solutions for model development
  • Monitor the first-line development and activities carried out by the model development teams
  • Manage engagement and activities for Insurance strategic initiatives and risk management projects Support
  • Support management and Board risk reporting, aimed at enabling optimisation of return/risk
  • Leading remediation effort around Risks in the Banking Book (“RBB”), including Interest Rate Risk in the Banking Book (“IRRBB”)
Qualifications for quantitative risk
  • Advanced degree in a quantitative field PhD(preferred)/Master’s and/or Actuarial professional qualifications in (ASA/FSA) Actuarial Science
  • Ideally several years’ experience in model development, implementation and/or validation covering diverse areas, preferably Structured Finance, Credit Risk, Asset Allocation, Real Estate, Real Assets and Actuarial models
  • Ability to challenge and influence people in a constructive manner
  • Familiarity with Bloomberg/Reuters/Excel/Intex/Murex/Other
  • Advanced degree in statistics/mathematical finance or other quantitative field
  • Experience in large GPFS environments with millions of files and petabytes of data, IBM Power hardware, Red Hat Linux on Intel compute farms, IBM Platform LSF and Symphony job dispatchers, and high performance distributed computing environments including GPU computing
2

Quantitative Risk Job Description

Job Description Example
Our company is growing rapidly and is searching for experienced candidates for the position of quantitative risk. If you are looking for an exciting place to work, please take a look at the list of qualifications below.
Responsibilities for quantitative risk
  • Regular review of liquidity at the fund and sector level
  • Regular meetings with portfolio managers to discuss risks and exposures
  • Detailed reviews of proposed new products to provide independent view of the achievability of the product
  • Facilitate discussion with PMs on portfolio construction and optimization
  • Understanding the factors impacting the Beta portfolios and managing those risks
  • This role will provide the successful candidate with the opportunity to work across various asset classes and product types within Beta Strategies and iShares
  • Supervise other data analysts within the team
  • Develop Basel compliant Probability of Default, Loss Given Default and Exposure at Default models for the Commercial Bank
  • Work under the guidance of the reporting manager during the model development process
  • Support the implementation of models in the Risk Rating platform and connectivity with other loan systems and data marts
Qualifications for quantitative risk
  • Expert business analysis and IT skills to drive tactical solutions and strategic roadmaps
  • Experience in information technology and infrastructure experience required
  • Experience with application development management and controls
  • Business knowledge in Financial products and US/International regularity application development is a must
  • Excellent verbal and written communication skills, able to explain and document the Enterprise Architecture to diverse audiences (technical, business, etc)
  • Significant experience (7+ years) in pricing complex derivatives and performing advanced statistical analysis on underlying risk factors (returns’ distribution, volatility, correlations)
3

Quantitative Risk Job Description

Job Description Example
Our growing company is searching for experienced candidates for the position of quantitative risk. To join our growing team, please review the list of responsibilities and qualifications.
Responsibilities for quantitative risk
  • Track and maintain current financial model inventory
  • Assist with model validations
  • Establish and maintain effective partnerships with model owners, model users, regulators and auditors (internal/external)
  • Developing, refining, maintaining and supporting models and methodologies of the risk management of asset classes from a quantitative perspective
  • Provide expertise on the conceptual soundness of valuation engines and its suitability for capturing risks adequately
  • Manage, develop and maintains portfolio macro analysis quantitative models to inform on business health and support decision making and risk management (Earnings at Risk, Value at Risk)
  • Lead discussions with various internal departments to understand new energy transactions and their impact on the portfolio, share technical advice, best practices to understand and challenge business decisions, when appropriate
  • Develop quantitative models for portfolio and transaction stress testing and scenario analysis
  • Identify, evaluate, measure and monitor valuation models for derivative and structured transaction including energy full requirements and load following contracts, vanilla and exotic options, natural gas storage and transportation spreads, Asset Management contracts, interest rate, renewable energy and other non-standard transactions
  • Develop quantitative methods, analyses and tools that support senior management decision making, ERM consolidation models, Market and Credit Risk functions
Qualifications for quantitative risk
  • Development of IFRS9 modelling through enhancing existing credit risk models or building new models that will measure expected loss across retail and small business clients
  • Assisting in the development and maintenance of analytics tools to calculate credit risk ratings, loss estimates, risk weighted assets and capital requirements across retail and wholesale products
  • Knowledge of Supervisory Guidance on Model Risk Management SR 11-7
  • Deep knowledge in credit models
  • 5 years experience in credit risk area
  • Ability to simplify and communicate technical concepts to other parts of the organisation
4

Quantitative Risk Job Description

Job Description Example
Our company is searching for experienced candidates for the position of quantitative risk. Thank you in advance for taking a look at the list of responsibilities and qualifications. We look forward to reviewing your resume.
Responsibilities for quantitative risk
  • Develop VaR methodologies for new or changed VaR models related to businesses like FX/Commodities/Credit/Rates
  • Implement credit risk analysis projects for banking clients, , directly involving in data mining, credit risk modelling
  • Develop, create and maintain models/spreadsheets for exposure calculation
  • Discuss complex and structured transactions with business (traders/sales) and risk personnel
  • Involved in risk mitigation and explaining quantitative counterparty risks to sales, trading, and risk management
  • Lead development of counterparty risk analytics and infrastructure
  • Partner with Front Office, Middle Office, and Technology to define business processes and implement technology where appropriate
  • Develops systems to quantify risk exposure
  • Implements a process/system for monitoring
  • Performs periodic evaluations and maintains supporting documentation
Qualifications for quantitative risk
  • Strong working knowledge of Programming languages such as C++/C#, Matlab, R, VBA
  • Understanding of regression techniques, linear and logistic regression, KMV Merton model and time series modelling- survival analysis
  • Experience and understanding of advanced quantitative methodologies for market risk measurement, capital modelling and derivatives pricing is essential
  • Preference will be given to candidate with experience in developing risk models like Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, Liquidity Risk models, etc
  • Solid background in advanced mathematics, including stochastic calculus
  • Solid background in financial mathematics
5

Quantitative Risk Job Description

Job Description Example
Our growing company is looking to fill the role of quantitative risk. We appreciate you taking the time to review the list of qualifications and to apply for the position. If you don’t fill all of the qualifications, you may still be considered depending on your level of experience.
Responsibilities for quantitative risk
  • Prepares periodic studies of various industry benchmarks
  • Prepares appropriate monthly/quarterly/annual reports
  • Conducts regular reviews of issues facing the industry or the firm which could affect various portfolios
  • Develop pricing models and risk analytics to support enterprise financial risk management
  • Manage a team of three or more analysts
  • Model validation of Front-Office pricing models for Equity Derivatives and Equity Hybrids
  • Timely delivery of model reviews with effective challenge to Front-Office and escalation of identified issues
  • Independent model development, building up our modeling framework and Model Validation library
  • Liaising and collaborating with partners across Front-Office quants and Trading, Market Risk and Product Control
  • Conducting research for establishing methodologies that estimate model risks
Qualifications for quantitative risk
  • Intimate knowledge of loan product
  • Have an understanding of banking or trading risk systems
  • Familiarity with risk pricing models
  • Be able to articulate advanced mathematical concepts to individuals in the business who may not have a mathematical background
  • Possess strong attention to detail and quality control
  • Be comfortable with Excel, Powerpoint, and Word

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