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Our client a reputable pension fund based in the UK and Europe require a Quantitative Risk Analyst.
The Quantitative Risk Analyst will work within the Performance and Portfolio Risk team reporting into the Head Performance & Risk. The Investment Risk function forms a second line of defence function, incorporating performance and risk analysis. The Quantitative Analyst will be evaluating Market, Liquidity, Credit, and counterparty risks, and will model risk using VAR, liquidity, pricing tools and stress testing.
The successful individual will undertake the following:
Analyse and comment on risks versus the scheme's investment objectives and strategies
Undertake Quantitative Analysis for the schemes investment strategy, and the schemes hedging programmes (rates, inflation, equities & F/X)
Develop risk indicators, stress test scenarios and compliance monitoring
Develop a robust model risk framework
Responsible for model validation, and ensuring they are designed effectively
Assist with building risk management systems
Assist in the design of periodic performance and risk reports
Experience in a Quantitative Risk role
Strong understanding of financial markets, and risk management in a ALM context
Model validation experience
Experience in delivering enhanced models
Strong knowledge of derivative pricing
Excellent Mathematical and programming skills (Python, Matlab, VBA)
This is an excellent opportunity for someone to join a dynamic team of quantitative risk professionals, within a lucrative pension fund.