Financial Engineer, Financial Risk Analytics
Financial Engineer, Financial Risk Analytics Company & Team - "About Us"
IHS Markit's Financial Risk Analytics (FRA) continues to innovate and deliver best in class risk analytics to its clients. Our solution suite is comprised of traded market risk (including the Fundamental Review of the Trading Book), counterparty credit risk, stress testing, and derivative valuations adjustments (xVA) solutions. The solutions cover a broad range of asset classes including Equities, FX, Rates, Inflation, Fixed Income, Commodities, Credit and Structured Products.
The suite of products and solutions enable our clients to effectively calculate, manage and hedge risks on their derivative portfolios. FRA sits within Financial Services division of IHS Markit.
We are looking for a Financial Engineer/Quantitative Analyst to join our Financial Engineering team. The team is responsible for building and supporting our financial risk analytics library which consists of:
Duties and Responsibilities - "Your Role"
- Risk Factor Simulation Models
- Cross asset pricing library
- XVA, Credit, Market and Regulatory Risk Measures
You will be part of the Financial Engineering team in London. Working alongside other Financial Engineers, software developers and product experts you will be responsible for adding risk analytic capabilities to our solution suite. Additionally, the team is responsible in supporting existing clients and showcasing modelling capabilities in our products to new prospects, so an aptitude for client engagement is a key benefit.
Key responsibilities include:
Job Requirements - "About You"
- Develop, test and maintain methodologies for xVA risk measuresAnalyse current industry practices on modelling choices and its impact on the financial library
- Document risk models along with their assumptions, interfaces
- Work with Product Management team to develop demos and carry of proof of concepts using the solutions
- Analyse regulatory updates and its impact on the financial library
- Support existing client use cases and implementations
You are highly motived, self-starting individual who loves working on analytical problems. You should be good with a programming language eg. Python. You will be well versed in financial derivatives and the current trends in the industry. You will be interacting with other teams and with clients as well, hence good written and oral communication is essential for this role. You should be able to articulate complex ideas effectively to internal and external audience.
Key Qualifications and Skills:
- Numerate degree
- Minimum 2 years' experience as a Financial Engineer at a bank or other fin tech company
- Sound coding skills in Python, Matlab
- Experience in financial derivatives, financial risk management, xVA
- Effective written and oral communication skills
- Self-starter and proactive
Good to have:
Job Benefits - "What we offer"
- Understanding of Market Risk
- Familiarity of Scala, Spark
- Knowledge of regulatory capital requirements under Basel 3 and SACCR
- Competitive compensation package
- Opportunity to work with experts in the field and learn from them
- Work with the best of breed technologies
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