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Market Risk Quant Analyst

Job Type
8 Sep 2022

Our specialist FS Risk Assurance team provide services to across our strategic markets:

Our team are one of the largest dedicated providers of Risk Assurance services to the financial sector, we work with many banks, insurance and asset management companies including FTSE, SEC, privately owned, as well as over 60% of the Lloyd's market.

Job Purpose

You are a Market Risk quant, with experience in model development / validation (pricing or risk models) or as a quant in valuation department.

You are hands-on but keen to lead and provide guidance to teams of more junior colleagues on different market risk topics.

You are client oriented and want to evolve in an international team, possibly travelling to better service clients when needed.

You want to grow the brand and be the next ambassador for Mazars Quantitative Solutions within the UK and internationally.

Within the quantitative finance team of the Consulting department, you will interact mainly with banks, but also with regulators, insurance companies, large corporates and services companies for a variety of quantitative services assignments

Role & Responsibilities

Within the quantitative finance team you will be involved in projects as follows:

  • The Manager would be expected to participate in the active growth of our Quant practice by contributing to multiple client engagement teams, working with a wide variety of clients to deliver professional services, and lead business development activities on key accounts.
  • Lead small and large-sized multidisciplinary engagement teams delivering quantitative finance projects for clients :
    • Market Modelling: support banks in building Market Models or support banks or regulators in Market Risk Models validation (Value at Risk, CCR, FRTB ). Average duration: between 3 and 6 months;
    • Financial instruments pricing: vanilla and complex derivatives for all asset classes (interest rates, credit, commodities, equity, and inflation); Pricing based on internal tool or external libraries.
    • Prudential Valuation and IFRS reserves review / challenge and optimization.
    • Technological monitoring, tools development for our internal Python pricing library;
    • Development and/or validation of ALM tools (interest rates shocks implementation, assumptions, model for non-maturity deposit, early reimbursement models)
    • Manage project execution and delivery of client engagements, making sure the project is delivered within the agreed timeline and budget
    • Identify likely issues that could impact delivery and leverage Mazars network support as required
    • Contribute to Mazars' regulatory watch activities by writing articles or providing technical content.
    • Work on management tasks (team planner, budget monitoring, recruitment)
    • Work with senior managers / directors and the partner team to developing our product offerings around data science, credit and market modelling and marketing to external and internal clients. Prepare client proposals in order to contribute to meeting the Quant team's sales budget.Assist in the development of training, engagement procedures and methodologies.
    • Mentor, coach and develop more junior staff.
Skills, Knowledge and Experience
  • Holds a degree specialising in mathematics applied to finance or actuarial studies
  • Holds significant relevant and recent quantitative experience within a consulting environment
  • Advanced knowledge in random modelling, statistics and probabilities
  • Strong significant experience in Credit and/or Market risk
  • Strong coding experience in C++, Python, Matlab, R or SAS
  • Excellent project management and stakeholder management skills and experience
  • Motivated by business development activities
  • Ability to work in a team
  • People management skills and experience, especially supervising and coaching team members
Inclusion and Diversity

At Mazars inclusion and diversity are central to our values. We recognise that being an inclusive and diverse organisation makes us stronger as a business.

We seek to attract and recruit people who reflect the diverse nature of our clients and communities, regardless of sexual orientation, gender identity, ethnicity, nationality, faith or belief, social background, age and disability. Mazars selects candidates based on skills, knowledge, qualifications and experience.

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  • Job Reference: 707326596-2
  • Date Posted: 8 September 2022
  • Recruiter: MAZARS
  • Location: London
  • Salary: On Application
  • Sector: Sales & Marketing
  • Job Type: Permanent