Quantitative Risk Analyst

Overall Functional Objective

As a member of the OTC Interest rate Risk development team, within the LCH.Clearnet, the role encompasses providing the quantitative analysis, development and specification for all risk management requirement for new products or new services that are introduced to LCH.Clearnet OTC clearing business. This includes the development and maintenance of risk management models and tactical applications, quantitative analysis and financial modelling, new product research and development, and other quantitative tasks as required on an ad-hoc or project basis. The role will involve close liaison with the wider OTC Risk management team and OTC Risk Change team, and other internal/external groups, on a regular basis.

Responsibilities and Tasks

Model Development

• Design, development and maintenance of risk management models and applications.
• Development and testing of pricing models and curves.
• Development and maintenance of in-house risk analytics library
• Model validation of OTC Clearing Platform (Murex) native risk analytics and pricing models

Quantitative Analysis

• Timely and accurate analysis of quantitative risk issues.
• Contribute to improvements in existing risk management techniques and processes through the application of advanced quantitative methods.

R&D

• Research and development in relation to proposed new products.
• Review and assessment of existing and proposed margining methodologies.

Other

• Provision of quantitative expertise in relation to internal/external projects or on an ad-hoc basis.
• Ensure that quantitative risk management techniques are kept in line with best practise.

Required Skills and Experience

• In-depth financial markets and products experience, either within risk management, product control or middle office environment within an investment bank or similar.

• Hands-on experience in developing quantitative models, building pricing models, and/or quantitative analytics.

• Highly numerate with a degree in quantitative finance, mathematics, economics or science-related disciplines, preferably at least Masters level.

• Strong conceptual / technical knowledge of financial risk management techniques, in particular relating to interest rate and credit products.

• Advanced Excel and programming competency, in particular VBA, SQL, C++.

• Strong numerical competency.

• Effective critical analysis and reasoning skills.

• Effective and confident communicator (written and oral).

• Ability to work autonomously on individual projects.

• Ability to add to the risk management expertise within the company

• Demonstrates strong analysis and reasoning competency, from a technical and a practical perspective

• Customer orientated and ability to build rapport with internal and external stakeholders

• Individually focussed on delivery to a high standard of accuracy and to deadlines

• Demonstrates ability to adjust communication to the level of knowledge of the recipient in order to influence

• Demonstrates continuous determination to develop their own knowledge and expertise through a variety of methods

• Demonstrates transfer of knowledge and expertise to others

Desired Skills and Experience

• Knowledge of interest rate and/or credit products (ideally both), including experience in pricing, risk management and analysis.

• Knowledge of other asset classes (eg. equities, commodities, energy, including experience in pricing, risk management and analysis.

• Experience of product development lifecycle.

• Experience working with Vendor Systems such as Murex or Calypso will be highly considered

If you wish to be considered for this position, please click here and complete the online application form, or if you would like further information, please contact careers@lchclearnet.com.