Counterparty Credit Risk Analyst - AVP

London, England, United Kingdom

A top tier bank is hiring for a Counterparty Credit Risk Analyst, responsible for measuring CCR across EMEA business lines, covering all traded products.

 

The Counterparty Credit Risk Analyst will be part of a global team who face off to sales and trading – providing CCR metrics on individual live trades or portfolios e.g. potential exposure (PE/PFE) results, initial margins, sensitivities and more – fixing products into the system.
 

You will get involved in global projects and initiatives including yearly reviews of margin methodologies and CCPs to ensure their robustness.

 

Responsibilities: 

 

  • Working across all asset classes (FX, Rates, Credit, Equities) - utilising existing models and tools to analysis on live trades and portfolios
  • Helping design/develop new methodologies for complex trades which better capture counterparty risk
  • Working on initial margin calculation for hedge fund derivative trades
  • Ad hoc reviews to assess the adequacy of initial margin calculations at CCPs
  • Communicating with credit officers and stakeholders about portfolio impacts and complex portfolio risk dynamics
  • Capture risk accurately in internal risk systems – scrutinising underlying products and trades to ensure they’re booked correctly
  • Providing training to Credit Risk Officers
  • New Product Review (NPR) assessment
  • Contribute to system testing for regulatory projects

 

Requirements: 

 

  • Excellent knowledge of products, particularly derivatives, with previous expertise in at least one asset class (FX, credit, rates or equities)
  • Excellent understanding of counterparty risk measurement techniques
  • Strong computer skills (Office, VBA, Bloomberg, SQL)
  • Good understanding of Monte Carlo models
  • Knowledge of CVA and related hedging strategies
  • Knowledge of CCP, Prime Brokerage, and Hedge Fund margin methodologies
  • Tool development in Java and/or Python