JCW Search Quantitative Analytics: Portfolio Risk Modelling Global Consulting Firm

1. Quantitative Portfolio Risk
Management & Modelling
£45 - £150k+
plus benefits & bonus
Associate / Consultant / Senior Manager / Director
OPPORTUNITY

2. JCW are currently engaged in assisting a global consulting firm to build a team of quantitative professionals providing highly technical
advisory services to the financial sector in the portfolio management and modelling space – This team works with a number of the top
banking and investment institutions to build bespoke portfolio risk and profitability models, and offer key advisory services for;
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Risk Aggregation and Allocation
Correlation and Systemic Risk
Counterparty Risk Modelling and Review
Stress Testing
Profitability Assessment
Model Review and Regulatory Challenge
Market Risk Modelling
Operational Risk Modelling
The team provides bespoke advice on portfolio risk assessment, portfolio management and improved credit portfolio modelling for a
range of financial institutions globally. The aim is to deliver tailored solutions for clients - providing the strategy, tools and insight to help
them risk assess and manage their portfolios more effectively.
Key areas of focus include risk strategy, risk appetite, portfolio risk aggregation, risk allocation, transfer pricing, portfolio
optimisation, new deal assessment, risk frameworks (including assessing risk management capabilities), Economic Capital, stress
testing, scenario analysis, people, IT and infrastructure.
The team also provides specialised quantitative services across a range of products, risk types and portfolios. Carrying out fundamental
research, building cutting edge models and specialising in the practical application of models., team members have produced cutting edge
and well-respected quantitative research in the market over the past ten years, and many of these innovative ideas have been adopted
widely across the industry.
ROLE PROFILE

3. Candidates interested in this opportunity will be able to demonstrate all or most of the following;
• Strong knowledge of portfolio modelling, derivative valuations, credit and market risk and capital requirements for either loan
or derivative portfolios. In particular, a good understanding of several of the following areas:
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default correlation modelling
(PD/LGD/EAD) modelling
stress testing
Pricing
portfolio optimisation
Economic Capital
risk allocation
multi-period risk modelling
• Experience of practical mathematical modelling and model implementation.
• First class degree in applied mathematics /engineering/physics or related discipline AND post-graduate qualification (MSc or
PhD)
• Very strong mathematical background with practical knowledge of probability theory, statistics, Inverse-Fourier
transforms, PDEs, characteristic functions, etc.
• Thorough knowledge and real-world experience of Monte Carlo techniques and importance sampling.
• Excellent C++ for numerical applications, including STL (Minimum 2 years real-world experience).
• Demonstrable evidence of 'new thinking‘– either in academia OR banking. Evidenced in model implementation at a Financial
Institution or through published articles.
• Good communication skills – both verbal reasoning skills (including the ability to communicate complex ideas effectively) and
written skills.
• Strong LaTeX, Powerpoint, Word and Excel skills required.
• Willingness to travel if the occasional need arises.
EXPERIENCE

4. Contact: Ben Goodfellow
Email: ben.goodfellow@jcwresourcing.com
Phone: +44203 589 9300
INTERESTED?