Counterparty Credit Risk Modeller (PFE/XVA Model Validation) Counterparty Credit Risk Modeller (PFE/XVA Model  …

Hays Financial Markets
in London, England, United Kingdom
Permanent, Full time
Last application, 25 Feb 20
GBP85000.00 - GBP88000.00 per annum
Hays Financial Markets
in London, England, United Kingdom
Permanent, Full time
Last application, 25 Feb 20
GBP85000.00 - GBP88000.00 per annum
Hays Financial Markets
Counterparty Credit Risk Modelling Opportunity, based in the City of London, salaried up to £88,000pa

Counterparty Credit Risk Modeller (PFE/XVA Model Validation) salaried up to £88,000pa.

Your new company
A Globally recognised institution, This British retail and commercial bank has traditionally been considered one of the " Big Four " clearing banks. As well as this, it sits as one of the largest UK banks with extensive coverage across England and Wales and headquartered in the City of London.


Your new role
This senior role sits within the banks Counterparty Credit Risk Modelling team who have this exciting opportunity available for a suitably qualified individual to be involved in the validation, ongoing performance monitoring and governance of PFE/XVA models. Engagement in these activities will also require liaising and collaborating with other stakeholders in the overall model governance process (including model developers, Front Office trading business, Finance, Credit and regulators). Beyond this, the opportunity requires the Independent validation and development of Potential Future Exposure (PFE) models, and validation of models used for the calculation of CVA, FVA and KVA valuation adjustments (collectively known as XVA) to derivative prices. As well as this, monitoring the performance of PFE and XVA models will be required which will include providing effective model governance. Effective interaction in this role will be essential such as liaising and working collaboratively with other stakeholders in the overall model governance and internal audit processes. Future developments with this opportunity will include the involvement in the IBOR transition project through the validation of new products and new curves for new risk-free rates.


What you'll need to succeed
To be successful in this role, you'll be required to have strong mathematical skills and a good working knowledge of Mathematical Finance theory, including exposure to programming skills in Python and/or C++ (or similar language). MSc or a higher qualification in a highly numerate discipline is desirable as well as 5 year's experience as a quantitative analyst in a large investment banks or similar financial institution in the role of a developer/validator of Front Office pricing models or risk management models. For you to start well in this role, strong communication and technical writing skills are necessary in order to document model validation analyses, and to communicate findings to senior management. You will also be expected to have practical experience of effectively managing models and model risk within a fast-paced banking environment as well as being able to work productively with other stakeholders in model governance and audit processes.



What you need to do now
If you're interested in this role, click 'apply now' to forward an up-to-date copy of your CV, or call us now.
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