Join us as a Quantitative Analyst
As a Quantitative Analyst, you’ll be supporting in the review, validation and quantification of model risk for assigned pricing or risk models used within NatWest Markets
You’ll be focusing on rates and FX derivatives pricing models or market risk, including IMA VaR, RNIV, IRC, and counterparty credit risk IMM models
You’ll gain great exposure for you and your work, with the opportunity to develop key relationships with relevant management, colleagues, model owners and developers and end-users
What you'll do
In this key role, you’ll be helping us to maintain and control an aggregated bank-wide model inventory and associated model risk assessments.
We’ll look to you to quantify model risk, through the comparison of the operating model against alternative models. You’ll also review and validate assigned models across the bank, ensuring that they are fit for purpose.
You’ll also be :
Supporting the review and challenge of model use in official stress testing calculations and
Supporting periodic model review including model performance assessment
Developing, maintaining and promoting the risk appetite setting in relation to model risk
Performing model risk analysis to satisfy regulatory queries and requirements
The skills you'll need
We’re looking for someone with experience of model review or model development of relevant risk models. We’ll expect you to have an understanding of derivative pricing modelling within one or more of the following areas : rates derivatives, FX derivatives or xVA.
Alternatively, you’ll have knowledge of risk modelling within traded market risk, non-traded market risk or counterparty credit risk.
Crucial to your success in this role will be excellent problem solving and analytical skills, coupled with strong communication skills.
You’ll also need :
A postgraduate degree in a quantitative subject such as mathematics, physics or quantitative finance, or similar professional qualifications
Hands-on programming experience in C++, Python or R
Hands-on in-depth skills in advanced quantitative modelling, and knowledge of the associated risk management issues in a practical business context
Knowledge of risk-model-related regulatory requirements
The ability to assist in team planning and prioritisation, including detailed planning of assigned projects within the team’s roadmap