Senior Quantitative Analyst

Requisition ID 33528 Office Country United Kingdom Office City London Division Risk Management Contract Type Regular Contract Length Posting End Date 02/06/2023

Purpose of Job

Senior Quantitative Analyst has the overall responsibility for the identification, measurement, monitoring and mitigation of credit and/or market risks and exposures incurred in the Bank’s operations.

Accountabilities & Responsibilities

Depending on the area of specialisation, Senior Quantitative Analyst is responsible for all or most of the following:

• Deputise for the Associate Director, as required.
• Contribute to development and coordination of a team’s long term strategic plan: participate in recruiting, training and developing staff on agreed policies and practices to maintain strong employee engagement. Supervise and share knowledge with junior colleagues, as assigned by the Associate Director.
• Provide guidance and advice to the Associate Director on all matters relating to own area of expertise and in support of related policy updates and implementation.
• Implement and perform regular calibration and review of the risk factor models and backtesting including Arbitrage-Free Nelson Siegel (AFNS), Kou jump-diffusion, Hull-White, Markov-Chain Monte Carlo (MCMC), advanced filtering models and calibration.
• Implement, validate and review the pricing models and methodologies of new vanilla and exotic products in the in-house Quantitative Risk Engine (QRE) library.
• Maintain contacts with financial institutions and external rating agencies with a view to keep up to date with the latest methodologies, regulations and best practises.
• Drive implementation of methodology and model changes, including participation in the development or selection of software and implementing such methodologies; validate the implementation of pricing and risk factor simulation models, in particular as to the appropriateness of the models selected for actual transactions and their calibration.
• Apply controls to ensure risk processes, systems and practices are monitored, reviewed and evaluated in compliance with Bank’s policies and Internal Control Framework (ICF), and identify opportunities for continuous improvement.
• Work with IT to prioritise developments, agree resources, timeframes and technical solutions. Test and sign off new system enhancements/fixes, including defining and running user acceptance testing through co-operation with IT.
• Work closely with Credit teams and Finance on delivery of figures for the Capital Adequacy Policy of the Bank. Additionally, provide the Financial Policy and Capital Adequacy team with EC and MtM output for production of the annual Economic Capital Policy review.
• Participate in the in-house analytical/pricing library implementation and/or validation including new scenarios generation models, pricing functions, sensitivities calculation, stress testing or strategic risk aggregations
• Demonstrate leadership by ensuring accountability and driving engagement in the team including recruitment, coaching and talent development.
• Champion and role model the Bank’s Behavioural Competencies and Corporate Behaviours, ensuring adherence within the team(s) so that the highest standards of integrity and ethical conduct are exhibited at all times

  Knowledge, Skills, Experience & Qualifications

  • Strong quantitative skills in financial modelling and statistics/econometrics.
  • MSc in Quantitative Finance and/or PhD in Math/Sciences
  • Minimum 5 years of experience in the financial sector
  • Good understanding of financial instruments in general and in particular interest rate, foreign exchange, inflation, equity and credit derivative products.
  • Significant practical experience with the implementation of credit and/or market risk measurement methodologies, including model calibration, validation and result analysis.
  • Extensive knowledge of industry best practice and the latest status of regulation in the field of market and credit risk.
  • Good understanding of risk management and portfolio valuation techniques (e.g. American/Backward Monte Carlo (AMC), regressions, PFE, VaR, sensitivities, XVA, correlation, economical capital and credit default modelling).
  • Ability to communicate well at all levels, from senior management to portfolio managers/traders, risk managers, accountants, middle office and IT staff.
  • A positive, autonomous and pro-active attitude to problem solving, identifying solutions and finding ways to overcome obstacles, if need be through compromise and consensus building.
  • Proficient in Python, C++, Excel VBA, databases, SQL and Matlab
  • Knowledge of devOps, agile development and Git desirable.
  • Knowledge of ActiveViam, Summit and/or Numerix desirable

    What is it like to work at the EBRD?

    Our agile and innovative approach is what makes life at the EBRD a unique experience! You will be part of a pioneering and diverse international organisation, and use your talents to make a real difference to people's lives and help shape the future of the regions we invest in.

    The EBRD environment provides you with:

    • Varied, stimulating and engaging work that gives you an opportunity to interact with a wide range of experts in the financial, political, public and private sectors across the regions we invest in;
    • A working culture that embraces inclusion and celebrates diversity;
    • An environment that places sustainability, equality and digital transformation at the heart of what we do.

      Diversity is one of the Bank’s core values which are at the heart of everything it does. A diverse workforce with the right knowledge and skills enables connection with our clients, brings pioneering ideas, energy and innovation. The EBRD staff is characterised by its rich diversity of nationalities, cultures and opinions and we aim to sustain and build on this strength. As such, the EBRD seeks to ensure that everyone is treated with respect and given equal opportunities and works in an inclusive environment. The EBRD encourages all qualified candidates who are nationals of the EBRD member countries to apply regardless of their racial, ethnic, religious and cultural background, gender, sexual orientation or disabilities. As an inclusive employer, we promote flexible working and expecting our employee to attend the office 50% of their working time.