Quants Analyst (AVP Level)

Due to the continued growth of our FS Risk Consulting Department, we are looking for a Quantitative Analyst to join the Quantitative Finance Team based in London. You will mainly interact with banks but also insurance companies, large corporates and service companies on a variety of projects.

About the 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
• Support business development by preparing client proposals
• Help with administrative tasks (such as training and recruitment)

What are we looking for?

• 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

About Forvis Mazars

Forvis Mazars is a leading global professional services network. The network operates under a single brand worldwide, with just two members: Forvis Mazars LLP in the United States and Forvis Mazars Group SC, an internationally integrated partnership operating in over 100 countries and territories.

Both member firms share a commitment to providing an unmatched client experience, delivering audit & assurance, tax and advisory services around the world. Together, our strategic vision strives to move our clients, people, industry and communities forward. Through our reach and areas of expertise, we help organisations respond to emerging sustainability issues in the global marketplace including human rights, climate change, environmental impacts and culture.

We are one diverse, multicultural, multi-generational team with a huge sense of connection and belonging. This is a place where you can take ownership of your career, get involved, believe in yourself and put your ideas into action.