FRTB IMA Model Validation Quant
One of our client 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.

Responsibilities

  • Phi is looking for a Model Validation Quant Analyst with strong Python to help extract the data and support the stress test against the expected shortfall for the Internal Model Approach. This is a pivotal moment for the project, with you joining as an essential resource in the IMA Implementation.
  • Responsible for the IMA implementation across all Derivative desks;
  • Work closely with the model validation team and Front Office quantitative teams
  • Data extraction using SQL, Python will strong database expertise
  • Responsible to compare and investigate differences in risk calculation between Front and Middle offices.

Key Skills

  • The ideal candidate will be a Quant Analyst with Python, SQL and expert on databases.
  • Ideally you will have experience of FRTB across SA and IMA. You will be a Frontg Arena expert understanding the pricing models.
  • 5+ years of experience as a Python developer, ideally with experience under the IMA - stress expected shortfall engine with Front Arena;
  • Sound knowledge of credit, interest rates, and inflation - especially on the Risk development side;
  • Sound knowledge of SQL and databases;
  • 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.
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*We regret that because we receive a high volume of quality applications, only those shortlisted will be contacted directly.
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