Quant Analyst - Credit Risk Backtesting (Investment Bank)

City of London
£500 - £600 per day
19 Sep 2013
17 Oct 2013
Randeep Ghumaan
Contract Type
Full Time

Quant Analyst - Credit Risk Backtesting (Investment Bank)

Main Function
Credit Risk Reporting (CRR), among other things, is responsible for the Derivatives book backtesting. The main function of this role will be to improve the established sustainable reporting process for the strategic Basel III framework, hence providing Senior Management with best of breed reports to support risk decision making.

The current opening is to lead the Back-testing team. Under Basel III, the bank must conduct a regular programme of Counterparty Credit Risk models back-testing. Back-testing consists of comparing values projected in scenarios with the equivalent actual values that are realised subsequently. The values compared need not only be from trade data but will also include portfolios and risk factors under Basel III, therefore, the number of objects that have to be back-tested going forward will significantly increase.

This role will work closely with other members of the team to develop and improve the existing processes. Major functions of the role are:

  • Working with partners in Counterparty Derivatives Risk Management (CDRM), Quantitative Analytics (QA) and IT to redesign and implement a new Derivatives backtesting process that will be fit for transition into Basel III.
  • Identify and fix data quality issues
  • Agree with stakeholders and implement a Basel III compliant template for presenting the results at key governance committees.
  • Any other tasks as required in support of CRR Basel III projects.
  • Working on systems developments/enhancements to meet users requirements
  • Trading products exposure profile analysis
  • Co-ordination of UATs associated with the above initiatives including consolidating user issues.
  • Investigation of problems in the process to identify and rectify issue.

Main Duties

Back Testing reporting process, that consists of responsibility for:

    • carrying out all data preparation steps (including data quality) required to generate inputs for the simulation engine (EAGLE),
    • carrying out periodic movement analysis,
    • investigating reasons for movements with DCEM,
    • preparing the first versions of the regular reports including but not limited to the contribution to the existing pack.
  • Work closely with QA and DCEM in the production of the Monitoring packs
  • Assist CRR and Development teams with report automation
  • Liaising with different stakeholders (Credit Risk Managers/Reporters, Tactical & Strategic IT teams, QA, DCEM, Portfolio Management) in order to draw up work schedule

Person Requirements

Qualifications /Education:

  • Graduate in a relevant subject from a reputable university
  • Preferred:
  • Masters in mathematical finance, financial engineering, FRM, CQF or equivalent

Experience required:


  • Good working understanding of the main derivative products and credit exposure methodologies.
  • Understanding and adhering to relevant regulatory and internal governance requirements


  • Statistical theory knowledge
  • Experience working in a top tier investment bank in a similar role.
  • Prior experience in Market Risk
  • Ability to carry out general analysis of EEPE and PFE, derivatives model development
  • Managing teams and senior stakeholder relationships,
  • Working on IT projects to document requirement and oversee user testing.

Skills and Knowledge: (Specific product knowledge/PC skills/ languages etc.)


  • Self-starter and results orientated.
  • Track record of driving forward change initiatives in an independent manner.
  • Ability to think and make decisions under pressure and under short time-frames
  • Very competent communication skills.
  • Maturity and ability to manage conflicts / difficult discussions to achieve appropriate risk management
  • Capable of detecting inefficiencies and proposing solutions
  • Strong Excel and Access skills
  • Excellent problem solving ability
  • Excellent report writing skills

This is an excellent opportunity to secure a high profile role within a presitigious, global bank. To avoid missing out, please send your CV with all relevant details included. Due to requirements of this position, only candidates with the skills/knowledge mentioned above will be considered.

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