Risk Quants Associate

NatWest Group

About the Role

• This is a great opportunity for someone with experience in a quantitative role to join our Risk function.
• This role will provide you with a platform to keep building your knowledge and expertise, and offers you great exposure.
• We're offering this role at associate level.

Key Responsibilities

• Supporting a team of quantitative analysts and technical specialists, providing quantitative and technical mentoring.
• Providing model, pricing and functional specifications of the models for the various asset classes, and for the subsequent validation by risk analytics.
• Providing a phased delivery of the simulation models and pricer prototypes.
• Producing model documentation to be delivered to the PRA for internal review.
• Advising senior management on and actively managing a project’s non-delivery risk.
• Making sure that adequate documentation is produced for governance.
• Assisting the IT department in implementing the models, and overseeing the implementation of the functional specifications back-testing against the prototypes.

Requirements & Tech Stack

• Working closely with quantitative analysts across asset classes to identify and assess diffusion models and pricer approximations.
• Significant experience in a quantitative role of specified asset classes, including credit valuation adjustments, expected positive exposure, building valuation models, optimizing pricing routines and computing efficiency.
• Significant experience in a banking environment or other financial institution.
• Knowledge to develop an infrastructure for prototyping and back-testing.

Qualifications

• The ability to recognize multiple relationships between problems, issues and situations.
• Experience of guiding colleagues and supporting them in developing further.
• The ability to work well independently and as part of a team.