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Quantitative Risk Manager

Employer
AXA Group
Location
UK
Salary
Competitive
Closing date
25 May 2022

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Sector
Accountancy
Contract Type
Permanent
Hours
Full Time
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Primary Location : UNITED KINGDOM-GREATER LONDON-LONDONOrganization : AXAIM Global COOContract Type : RegularShift : Day JobSchedule : Full-time Description
The main role of the Global Risk Management (GRM) department is to provide AXA IM's Executive Management with an independent view of the company's risks across all investment teams and entities and to support risk mitigation efforts.

Within GRM, the Investment Risk Analysis and Standards (IRAS) sub-department is responsible:

To identify, to analyse, to mitigate and to provide a second level control on Investment Risk including Market Risk, Credit Risk, Liquidity Risk and Performance Risk

To ensure an independent control on Model Risk

To ensure an independent control on Valuation Risk

To provide a quantitative support to other GRM or other AXA IM departments

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In this context, the Model Risk and Valuation Risk team is in charge to define the validation standards, to conduct their implementation and ensure an independent control on Model Risk and Valuation Risk. In particular, the team's missions are the following:

Ensure an independent control on Model Risk:
  • Investment Model Risk:
    • Investment Model Risk standards definition and maintenance
    • Criticality assessment, independent review and validation of investment models used for decision making by portfolio management teams including investment signals, allocation models, hedging models, credit rating models, ESG scoring models, etc.
  • Pricing Model Risk:
    • Pricing Model Risk standards definition and maintenance
    • Independent review, replication and validation of pricing models for vanilla and exotic derivatives across all asset classes including Equity, Interest Rates, FX, Inflation, Credit and Volatility.

Define and develop methodologies and models used by GRM for investment risk analysis purposes:
  • Liquidity risk modelling and monitoring
  • VaR computation and VaR backtesting
  • Portfolios leverage computation
  • Portfolios performance computations

Define valuation standards and control their correct application:
  • Define valuation standards for new asset classes identified, including the definition of the valuation control process
  • Oversee the correct implementation of the controls conducted by independent control functions
  • Provide alternative valuation in case of difficulty to apply standard valuation

The preceding missions are supplemented with the following objectives:
  • To act accordingly and consistently with the regulatory framework
  • To produce regular risk activity reports for the attention of GRM executives and committees

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As part of this team, the responsibilities of the Quantitative Risk Manager are as follows:
  • Participate with the head of the team to the definition and the periodic review of standards on model risk, valuation risk and liquidity risk
  • Participate to the identification and the validation of investment models. A particular focus of this role will relate to models used in quantitative investing strategies developped by the platform AXA IM Equity QI:
    • Ensure the defined risk management framework is implemented and covers all regulatory and internal requirements and conforms to industry best practices
    • Identify key risk areas to build the model validation plan
    • Perform model risk reviews (including data selection, data modeling, signals design, portfolios construction, testing plans, etc.) and model risk oversight (including change control processes for model upgrades and deployments, periodic reviews of models robustness in different market regimes)
    • Actively coordinate investment risk management, including performance oversight and participate to Investment and GRM committees
  • Participate to the validation of pricing models
  • Participate to the definition and development of methodologies, models and risk indicators used by GRM to assess and control investment risks (Liquidity Risk, Performance Risk, etc.)
  • Conduct analysis enabling to assess and control investment risks
  • Produce regular risk activity reports for the attention of GRM executives and committees
  • Ensure a quantitative support to GRM
Qualifications
  • Graduate in Quantitative Finance
  • Previous experience (5+ years) in Asset Management or Investment Banking industry with a quantitative risk and/or derivatives valuation background
  • Knowledge of quantitative equity business (factor models, valuation, optimization and portfolios construction).
  • Strong IT background (Algorithmic and programming, Data Science, Python, Matlab, SQL, Access, VBA, Oriented Object programming, etc.)
  • Robust knowledge of data governance with experience navigating and understanding autonomously complex workflow within systematic data integration processes.
  • Written and spoken English essential; French advantageous
  • Autonomous, rigorous and committed
  • Very good communication skills (written and oral)
About AXA
Would you like to wake up every day driven and inspired by our noble mission and to work together as one global team to empower people to live a better life? Here at AXA we strive to lead the transformation of our industry. We are looking for talented individuals who come from varied backgrounds, think differently and want to be part of this exciting transformation by challenging the status quo so we can push AXA - a leading global brand and one of the most innovative companies in our industry - onto even greater things. In a fast-evolving world and with a presence in 64 countries, our 166,000 employees and exclusive distributors anticipate change to offer services and solutions tailored to the current and future needs of our 103 million customers.

AXA Investment Managers (AXA IM) is a responsible asset manager, actively investing for the long-term to help its clients, its people and the world to prosper. Our high conviction approach enables us to uncover what we believe to be the best global investment opportunities across alternative and traditional asset classes, managing approximately 866 billion in assets as at the end of June 2021. AXA IM is a leading investor in green, social and sustainable markets, managing 568 billion of ESG-integrated, sustainable and impact assets as at the end of June 2021. We are committed to reaching net zero greenhouse gas emissions by 2050 across all our assets, and integrating ESG principles into our business, from stock selection to our corporate actions and culture. Our goal is to provide clients with a true value responsible investment solution, while driving meaningful change for society and the environment. At end of June 2021, AXA IM employs over 2,488 employees around the world, operates out of 26 offices across 20 countries and is part of the AXA Group, a worldwide leader in insurance and asset management.
What We Offer
We are proud to foster a high-performance culture, which means that we seek to recruit and retain people who are not only technically-skilled but also globally-minded, innovative and able to leverage their unique perspectives and life experiences to support our success as a company. AXA IM is committed to building an inclusive culture, valuing diversity and supporting the career progression of all employees.
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