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    4. Quants Analyst Junior, London - October 2022
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    Job Purpose

    You hold or about to hold a master's degree in Quant Finance, Mathematics or Statistics. Within the quantitative finance team of the risk consulting department, you will interact mainly with banks on a variety of projects related to Market Risk, Counterparty Credit Risk, Credit Risk and Climate Risk.

    Job Role

    Contribute in small and large-sized multidisciplinary engagement teams delivering quantitative finance projects for clients

    • Cross-asset derivative pricing including valuation adjustments (XVA). Calibration of models using best industry practices
    • Model validation for small to large size clients, for quantitative risk management models such as (PD/LGD, VaR, Expected Shortfall, EPE/PFE)
    • Implementation review of accounting standards such as FRTB, IFRS9, CECL
    • Development of internal pricing libraries and tools (e.g. C/ECL, stress testing)
    • Oversee summer internship projects
    • Contribute to Mazars' regulatory watch activities by writing articles or providing technical content
    • Support business development by preparing client proposals
    • Help with administrative tasks (such as training and recruitment)

     

    Person Specification

    • Holds a 2.1 or above master's degree in a quantitative discipline e.g. mathematics, statistics, quantitative finance
    • Advanced knowledge in derivative pricing, quantitative risk management (covering credit, market and counterparty risk), stochastic calculus, modelling, statistics and probabilities
    • Strong significant experience either in derivative pricing, credit (PD and LGD modelling) and market (VaR, Expected Shortfall, FRTB) risk modelling
    • Strong experience in either of Python, R or C++
    • Ability to work in a team
    • Desired experience/skills: model validation and machine learning