One of our clients serves asset managers, pension funds, stockbrokers, life insurers and other similar entities, focusing on personal and business banking, corporate and investment banking, wealth and investment management alongside private banking. The client account for more than 40,000 employees spanning across 12 African countries. Additionally, they have expanded into strategic areas such as United Kingdom and the United States, as well as a few other European locations. As of 2019, they had more than USD 80 billion AUM predominantly trading in Fixed Income, Commodities, and Credit.
Our client is now undertaking a full-scale FRTB project. We are already involved with this project and due to our high performance have been asked to expand on our contributions to the project. Our client counts with a team of 60 employees working in this project, with the task focusing on the Front Office, covering all asset classes and instruments in Front Arena and Adaptiv. Currently, the client are working on the Standardized Approach for their models, but want to implement an Internal Models Approach (IMA (ES, NMRF, DRC)) alongside to improve on their validation models, migrating from their current value engine.
- Phi is looking for a Front Arena Quant Analyst to help finalising this project, either remotely or at the client’s office. This is a pivotal moment for the project, with you joining as an essential resource in the final part of this comprehensive task;
- Support the VaR migration;
- Work closely with the model validation team and Front Office quantitative team working mainly across fixed income specifically Inflation, Credit and Rates;
- Run reconciliation work;
- Exposure to profit and loss attribution test and backtest.
- The ideal candidate will be a Front Arena Quant Analyst with past proven experience working on similar and complex migration projects.
- Ideally, 5+ years of experience as in Quantitative Analysis;
- Experience with Front Arena, especially with VaR extraction.
- Sound knowledge of credit, interest rates, and inflation;
- Good exposure and understanding of FRTB implementations;
- Excellent communication skills with a “can do” attitude.
This opportunity will allow you to showcase your full range of skills by being part of such comprehensive migration, in a full-scale prestigious project, giving you great exposure to the FRTB, as well as display your capabilities to take charge and drive big tasks.