Quant Analyst (PhD Required) (Full-Time)

About the role

The role will involve the development and enhancement of capital and loss forecasting models within the bank, with a particular focus on achieving compliance with the Basel committee market risk requirements outlined as part of the Fundamental Review of the Trading Book. This is a high-profile area and presents a challenging and intellectually stimulating role in a dynamic team that is used to delivering in a timely manner to many different constituents of the bank.

Responsibilities

• Developing and implementing new models or enhancing existing models
• Maintaining & developing loss forecasting and capital models
• Seeking out work and enhancing current models/processes
• Producing clear and coherent technical documentation for internal and regulatory purposes

Requirements

• Qualified PhD level in a numerical discipline (e.g. Statistics, Mathematics, Physics or Engineering)
• Experience in developing, documenting & maintaining numerical models for purposes of loss forecasting or calculating capital requirements
• Demonstrates consistent attention to detail
• Proven ability to communicate complex technical concepts clearly

Skills

• Technical skills: Statistics, Probability Theory, Econometrics
• IT skills: Prior experience of using both statistical modeling tools (e.g. SAS, R) and development experience in either C++ or Python
• Documentation: Ability to clearly document quantitative models and evidence technical modeling choices
• Data analysis and interpretation: Experience of interpreting and manipulating large financial data sets
• Practical knowledge of credit products including loans, bonds and credit derivatives
• Nice to have: Practical experience of quantitative model documentation using LaTeX or similar mathematical typesetting packages

Benefits

• Health & Wellness: Medical, dental, and vision insurance; Prescription drug coverage; Telehealth services; Mental health counseling and support programs; Health Savings Account (HSA) and