Market Risk Methodology Quantitative Strategist

Job Description:

Job Title Market Risk Methodology Quantitative Strategist Location London Corporate Title Vice President Group Strategic Analytics (GSA) is part of Group Chief Operation Office (COO) which acts as the bridge between the Bank’s businesses and infrastructure functions to help deliver the efficiency, control, and transformation goals of the Bank. You will join the Market Risk Strats unit within GSA, which is a team comprised of people with technology, front office quant and risk methodology experience.

You will focuse on methodology development and implementing models for Market Risk and Capital calculation, such as Fundamental Review of the Trading Book (FRTB), Value at Risk (VaR), Stress Testing and Economic Capital, as well as a further build‑out of a scalable and flexible Front Office pricing and risk management system with consistent interface to Market and Credit Risk, Finance and Treasury.

The Risk Methodology Specialist is a quantitative role with responsibilities for the detailed research, implementation, testing, calibration, and documentation of the Group's risk management models.

A healthy, engaged and well-supported workforce are better equipped to do their best work and, more importantly, enjoy their lives inside and outside the workplace. That’s why we are committed to providing an environment with your development and wellbeing at its centre.

• Hybrid Working - we understand that employee expectations and preferences are changing. We have implemented a model that enables eligible employees to work remotely for a part of their working time and reach a working pattern that works for them
• Competitive salary and non-contributory pension
• 30 days’ holiday plus bank holidays, with the option to purchase additional days
• Life Assurance and Private Healthcare for you and your family
• A range of flexible benefits including Retail Discounts, a Bike4
  
  Work scheme and Gym benefits
• The opportunity to support a wide ranging CSR programme + 2 days’ volunteering leave per year

• Contribute to the development of market risk model methodology, provide quantitative and qualitative justification for modelling choices with focus on commodities asset class.
• Focus on building and maintaining market risk model meeting regulatory capital and risk management standards.
• Investigate and understand business problems and provide an end-to-end optimized solution on a scalable platform.
• Participate in the development of production applications implemented in Python and C++
• Maintain a rigorous focus on system stability, and completeness and accuracy of calculations, as applications are developed, and continue with this focus as they are used in production.
• Contribute to creating regulatory compliant model documentation for new models and model changes.
• Analyse and explain calculated numbers, partner together with traders, risk managers and strategist colleagues to continuously improve models and risk management and pricing tools.

• Strong experience working on commodities asset class, working with market risk models feeding regulatory capital and risk management.
• Solid quantitative background, extensive analytical skills and ability to efficiently solve problems proactively.
• Experience of hands‑on development, ideally in Python or C++ and a desire to continue doing this.
• Understanding of the disciplines and tools which are used to deliver robust high‑quality applications: source control, unit‑testing, regression testing, release and deployment controls, etc.
• Prior exposure to finance, in particular subjects such as derivatives, value‑at‑risk and stress testing is a plus.
• Track record of leading and successful delivery of large‑scale projects, including respective project and stakeholder management
• Excellent interpersonal skills with experience in people management will be advantageous.

• A culture of continuous learning to aid progression
• A range of flexible benefits that you can tailor to suit your needs

We value diversity and as an equal opportunities’ employer, we make reasonable adjustments for those with a disability such as the…