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The Junior Quantitative Analyst, Market Risk, 40% is a part-time team member supporting the Market Risk Analytics (MRA) team, Investment Management, on a range of quantitative portfolio analytics, modelling and reporting tasks. These will include assisting in the design and implementation of quantitative tools for assessing portfolio risk, documenting modelling methodologies, programming and other ad hoc modelling tasks. The person will work within MRA but will also work closely with the Investment Information Systems (IIS) team on model implementation.
As a Junior Quantitative Analyst, Market Risk your main responsibilities will involve:
Work under the supervision of Head of Market Risk Analytics to develop portfolio metrics
Assist with the development of metrics to help identify and correct problems and errors in model simulation runs
Undertake Python/Matlab programming and SQL database interaction
Work with members of the Investment Systems team to implement models on productive Systems
Documentation and reporting
Prepare technical documentation of model methodologies
Prepare and contribute to the development of risk reports, including the methodological foundations of the metrics used to assess portfolio risk
Your Skills and Experience
As a Junior Quantitative Analyst, Market Risk your skills and qualifications will include:
Student, ideally nearing completion of an MSc or higher qualification in quantitative finance or related quantitative discipline
Strong mathematical knowledge preferably with a focus on probability and stochastics
Good knowledge of quantitative finance theory (asset pricing, risk management, portfolio theory) and applications (e.g. Monte Carlo simulation, statistical inference)
Strong programming skills in one or more of Matlab, Python, R or similar.