Senior Quantitative Analyst – Counterparty Portfolio Risk
Marex is a diversified global financial services platform, providing essential liquidity, market access and infrastructure services to clients in the energy, commodities and financial markets.
The Group provides comprehensive breadth and depth of coverage across four core services: Market Making, Clearing, Hedging and Investment Solutions and Agency and Execution. It has a leading franchise in many major metals, energy and agricultural products, executing around 50 million trades and clearing 205 million contracts in 2022. The Group provides access to the world’s major commodity markets, covering a broad range of clients that include some of the largest commodity producers, consumers and traders, banks, hedge funds and asset managers.
Marex was established in 2005 but through its subsidiaries can trace its roots in the commodity markets back almost 100 years. Headquartered in London with 36 offices worldwide, the Group has over 1,800 employees across Europe, Asia and America.
For more information visit www.marex.com
The purpose of this role is to lead the design of risk methodologies including Expected Loss, Stress Testing & Scenario Analysis, to evaluate Counterparty Risk across the Credit Portfolio and Trading Counterparties, to collaborate with colleagues across Credit Risk and Market Risk, present proposals and results to senior stakeholders, and maintain up to date and complete documentation of methodologies and assumptions.
• Define and establish quantitative measurement capabilities, including expected loss, scenario analysis, stress testing and capital allocation.
• Maintain up to date and complete documentation of methodologies and assumptions
• Build appropriate Risk Appetite Frameworks and MI in order to facilitate the allocation of credit and capital
• Review existing strategies and practices, understand business problems and working with colleagues to scope out and deliver relevant analysis and modelling through to implementation.
• Design and implement key dashboards for horizon scanning of macroeconomic risks, country risks, sector risks etc.
• Design and implement stress testing methodology, process, tools and policy
• Performance of capital adequacy assessments and contribution to ICARA Credit Risk section and other cross-discipline analyses.
• Responsibility for backtesting the internal credit rating system and benchmarking to external agencies
• Provide input into PFE methodology and other counterparty risk measures
• Maintain continual focus on market methodological developments with regard to portfolio credit risk measurement and management techniques and ensure adoption of relevant facets
Skills & Experience:
• Proven stakeholder management, collaboration and influencing skills.
• Expert level of knowledge in the area of portfolio credit modelling techniques & model parameters (Expected Loss, PFE, PD, LGD) as well as stress testing and scenario analysis,
• Experience in the area of initial margins and estimation of tail risk on futures, options and other traded products (Cleared, ETD and OTC)
• Proficiency in one or more programming languages (e.g. Python) for prototype development.
• Excellent prioritisation, planning and organisational skills.
• Effective report writing skills with an ability to distil complex information to a ‘key risks’ summary to enable management decision making
• Strong troubleshooting and analytical skills, with an ability to work efficiently under pressure
• A university Degree, with advanced degree preferable, (e.g, MSc) in relevant discipline or professional qualifications (e.g. CFA, FRM)
If you’re forging a career in this area and are looking for your next step, get in touch!
Marex is fully committed to being an inclusive employer and providing an inclusive and accessible recruitment process for all. We will provide reasonable adjustments to remove any disadvantage to you being considered for this role. We value the differences that a diverse workforce brings to the company. We welcome applications from candidates returning to the workforce. Also, Marex is committed to avoiding circumstances in which the appearance or possibility of conflicts of interest may exist within the hiring process.
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