Responsibilities
Position Description
The Senior Risk Quantitative Analyst ("Senior Risk Quant") is responsible for developing, maintaining, and enhancing quantitative models that support market risk, credit risk, and valuation functions. The role requires strong quantitative skills, deep product knowledge, hands-on programming capability, and the ability to communicate insights to both technical and non-technical stakeholders. The analyst will serve as a subject-matter expert in model methodology, validation, scenario design, and risk analytics infrastructure.
Key Role Responsibilities
- Risk Modelling & Analytics
- Calibrate, maintain and develop market risk models including VaR, Expected Shortfall, stress testing, PFE/EPE, exposure simulations, and scenario analytics.
- Build stochastic models for pricing and risk e.g., mean-reverting processes, stochastic volatility, multi-factor models, and correlation structures.
- Enhance and implement credit exposure models for derivatives (CSA, collateralization, netting sets, WWR).
- Monitor and improve the performance, stability, and accuracy of existing models.
- Product & Market Expertise
- Provide quantitative expertise in derivatives valuation across asset classes (e.g., power, gas, commodities, FX, rates).
- Analyse new products, structured trades, and optionality to determine appropriate pricing and risk methodologies.
- Interpret market behavior and communicate implications for risk exposures and valuations.
- Quantitative Infrastructure Development
- Implement models in production systems using Python, C++, or similar languages.
- Build robust data pipelines, calibration frameworks, and regression tests.
- Work closely with IT and overseas Quant team to ensure seamless integration of models and curves.
- Governance, Documentation, and Validation
- Prepare detailed model documentation including methodology, assumptions, limitations, and model risk.
- Support model validation processes, internal audits, and regulatory reviews.
- Cross-Functional Collaboration
- As a member of the Quant Risk team, collaborate closely with other risk teams and cross-functional partners (e.g., IT) to resolve modelling issues.
- Provide quantitative support for risk committees, limit setting, and senior management reporting.
- Communicate findings and recommendations clearly through presentations and written analysis.
Qualifications
Key Qualifications and Experience
Technical Skills
- Strong understanding of stochastic calculus, probability theory, numerical methods.
- Hands-on experience in the development of quantitative and analytical models, including pricing, risk measurement, and P&L calculations in fixed income, FX, and credit businesses.
- Proficiency in Python, databases (e.g., MySQL/SQLite) and preferably C++/Java for production deployment.
- In-depth knowledge of risk management methodologies such as VaR, portfolio optimisation, and stress testing.
- Experience with Monte Carlo simulation, PDE methods, and optimization techniques.
- Familiarity with market data sources and historical calibration pipelines.
Education & Experience
- Master's or PhD in Quantitative Finance, Mathematics, Physics, Engineering, or related field.
- 5 - 8+ years of quantitative/modelling experience in a financial institution or trading environment.
- Strong communication skills with the ability to interact directly with global teams and support functions; proficiency in both English and Japanese is required.
- Experience with commodities or power markets is highly valued (if relevant).
Preferred / Nice-to-Have
- Knowledge of XVA, counterparty credit, and collateral modelling.
- Experience with energy markets (power, gas, LNG) and physical/financial products.
- Familiarity with risk systems like Endur, Murex or in-house platforms.
- Ability to prototype and scale models efficiently.
Language Skills
- Fluency in English (spoken and written) is Mandatory required.
- Fluency in Japanese (spoken and written) is Mandatory required.
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