CCR / XVA Quant
Location: London, England, United Kingdom
Salary: GBP950 - GBP1000 per day
This is a role responsible for identifying and investigating deficiencies in CCR&XVA models, then addressing them by developing enhanced methodologies and software/library components for a more accurate CCR&XVA risk measurement and management. Throughout the process, regular inter-action with key stakeholders is expected which add to the role the requirement for strong communication skills.
The core objectives are
(1) to review and improve or re-build the existing suite of models and methodologies,
(2) to drive improvements to the systems and data infrastructure supporting deployment of CCR&XVA models, and
(3) to coordinate projects aimed at aligning methodologies, governance and policies around the Group, and
(4) keep abreast of business (trading, structuring & credit risk manager) and regulatory requirements, and
(5) engage in industry discussions aimed at informing policy.
- Appropriately calibrated and applied traded credit models helps ensure that risk is more accurately quantified, allocated and managed. This in turn leads to more appropriate risk-return analysis for the business.
- Regulatory approval for effective traded credit models aligns risk measurement and capital. This is optimal and removes arbitrage.
- Understanding of regulatory requirements means the business is forewarned of changes in the regulation and can prepare accordingly.
- Effective communication with the GRA team at both Regional and Group levels ensures there is a strong common understanding of the models and that best practices are being applied.
- Providing bespoke analysis for new business helps ensure that the business can make appropriate risk/capital assessments.
- Understanding of mathematical concepts behind models already implemented
- Ability to navigate through the existing analytical modules of the CCR&XVA Library
- Ability to propose mathematically sound alternative to address methodology deficiencies.
- Ability to modify existing library component to resolve issues
- Ability to adopt Test Driven approach in methodology construction and while developing in the library
- Ability to run batches and test suites
- Ability to document and to use communication tools at disposition to convey the right message to stakeholders
- Appetite to learn and enthusiasm in performing daily task including the less glamorous ones
- The development of new models to a tight timeframe with a potentially changing set of regulatory requirements.
- Understand traded credit risk and quantify risks using advanced mathematical technics (Stochastic calculus) and programming languages (C++, QuiC, Java).
- Being able to clearly explain model details to other areas of the bank in non-technical language, and assisting in the on-going usage of these models in a day-to-day risk management setting, e.g. helping to explain significant model value changes
- Developing a clear understanding of regulatory expectations and requirements which can then be communicated internally and externally
- Being able to lead and manage a project involving different stakeholders across several geographies
- Role Context (The environment and operating conditions of the role including the extent of guidance and authority)