Senior Quantitative Analyst Climate Risk in Trading Book

Senior Quantitative Analyst Climate Risk in Trading Book – Permanent | London (Hybrid)

Salary: £90,000–£128,000 + Bonus + Benefits

Role Summary

You will be a technical and strategic lead for climate risk modeling in market risk management, specifically for the trading book. Your key responsibilities involve designing and maintaining methodologies related to:

• Value-at-Risk (VaR)
• Stressed VaR
• Incremental Risk Charge (IRC)
• Other related market risk models adapted for climate risk exposure

This includes owning the end-to-end model lifecycle — from development through to regulatory communication and documentation.

Core Responsibilities

• Model Development & Validation:
• Build and enhance models incorporating climate risk into trading book metrics. Ensure global consistency and regulatory compliance.
• Framework Ownership:
• Develop global methodology standards for climate risk integration into market risk.
• Project & Resource Management:
• Manage model development projects, potentially across multiple regions or teams.
• Stakeholder Engagement:
• Translate technical climate risk models into clear insights for:
• Regulators
• Trading desks
• Risk management teams
• Documentation:
• Create well-structured and comprehensive documentation suitable for both technical and non-technical audiences.

Qualifications and Skills

Required:

• Academic/Technical Background: Strong quantitative background in:
• Mathematics, Statistics, Physics, Computer Science, or related field.
• Climate Science Expertise: Direct experience with climate science modeling, ideally in a financial context (e.g., scenario analysis, carbon exposure models).
• Market Risk Modeling: Deep familiarity with market risk frameworks like VaR, Stressed VaR, IRC, and derivatives.
• Programming: Solid experience with Python (e.g., for modeling, data analysis, visualization).
• Communication: Ability to simplify and explain complex modeling decisions to a non-technical audience (e.g., regulators or senior stakeholders).

Preferred:

• Experience with stress testing frameworks (e.g., CCAR, ICAAP, climate stress testing).
• Knowledge of economic capital models.
• Familiarity with regulatory frameworks like Basel III/IV, TCFD, or NGFS would be advantageous.