Senior Quantitative Analyst

Randstad Digital
London
3 months ago
Applications closed

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Senior Quantitative Risk Analyst

Quantitative Analyst / Model Developer – IRRBB & CSRBB Strategic Enhancement Initiative

📍 Location: London, Canary Wharf (Hybrid – 3 days in office)

🕒 Duration: 9 months (Full-time Contract)

🏢 Department: Enterprise Risk Management – Centralised Modelling, Analytics & Operations (CMAO)


About the Role

Seeking a skilled Quantitative Analyst / Model Developer to enhance IRRBB and CSRBB capabilities. Focus on developing, maintaining, and integrating advanced risk measurement models using QRM, aligning them with risk frameworks and governance.


Key Responsibilities

IRRBB / CSRBB Analytics & Implementation

  • Develop and maintain IRRBB and CSRBB measurements in QRM, covering Economic Value of Equity (EVE) and Net Interest Income (NII).
  • Ensure consistent metric generation across all products and portfolios for monitoring against management thresholds and limits.
  • Integrate IRRBB/CSRBB outputs into key risk frameworks, including stress testing, risk appetite, limit structures, and ICAAP capital discussions.
  • Quantitatively review results (sensitivities, drivers, stability) and validate alignment with the firm’s balance sheet and market expectations.

Governance & Oversight Deliverables

  • Document metrics production (QRM) and usage for Risk/Treasury.
  • Prepare materials for model validation, stress tests, audits, and senior management.
  • Resolve oversight challenges in methodology, scenario design, assumptions, and decision linkage.
  • Ensure complete CSRBB and IRRBB coverage and capture all risk drivers.

Qualifications & Experience

  • Education: Master's or PhD in a quantitative field (Economics, Finance, Mathematics).
  • Experience: 5+ years in banking/financial services with exposure to IRRBB, CSRBB, ALM, Treasury, or Balance Sheet Risk.
  • Technical: Hands-on QRM experience (configuring models, running sensitivities/scenarios, interpreting EVE/NII).
  • Programming: Proficient in Python, R, or similar.
  • Risk Framework: Strong understanding of risk measurement's link to management actions (limits, stress testing, ICAAP).
  • Regulatory: Familiarity with EBA/ECB IRRBB & CSRBB requirements.
  • Communication: Exceptional written/verbal skills for documentation (validation, regulatory, senior committees).


Why Join

This is an exciting opportunity to contribute to a high-impact strategic initiative within a leading financial institution. You’ll work in a collaborative, expert environment, engaging directly with senior stakeholders across Risk, Treasury, and Enterprise Management functions.

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