Counterparty Credit Risk Quantitative Analyst

  • Negotiable
  • London, England, United Kingdom
  • Permanent, Full time
  • Taylor Root
  • 24 Jan 18 2018-01-24

My client, a reputable bank is looking for contract Counterparty Credit Risk Quant Analyst to join their Traded Credit Analytics team. This role will be responsible for identifying and investigating deficiencies in Counterparty Credit Risk and XVA models, addressing them by developing enhanced methodologies and software/library components for a more accurate CCR/XVA risk measurement and management.

Responsibilities:

  • Review and improve/re-build the existing suite of models and methodologies
  • Drive improvements to the systems and data infrastructure supporting deployment of CCR&XVA models
  • Coordinate projects aimed at aligning methodologies, governance and policies
  • Keep abreast of business (trading. structuring & credit risk manager) and regulatory requirements, and engage in industry discussions aimed at informing policy.

Requirements:

  • At least 4 years of experience in CCR/XVA Quantitative Analytics team. Having been personally involved in building simulation models (Monte Carlo scenario generation) and developing simulation solution in C++ libraries
  • Ideally previously involved in successful regulatory submissions (Successful ECB submission is a plus).
  • Ability to lead, manage and successfully deliver projects within the agreed time scale, in liaison with all relevant stakeholders: model owners, credit, business, IT, senior management and regulators.
  • Clear and demonstrable familiarity with key risk measures such as CVA, EPE, PFE.
  • Minimum Masters level in Math/Computer Science/Engineering discipline
  • Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation technics
  • Ability to break methodology design in atomic testable blocks that can be implemented in automated testing suite
  • Ability to construct automated testing suite around BAU work to avoid redundancy and repetition in daily routine
  • Expert C++ developer not afraid to learn other languages (passionate about profiling, refactoring and optimising messy code) and with Test Driven Development approach
  • Open personality and effective communication skills, ability and flexibility to work in an international team
  • Ability to write clear and understandable documents

Please send your CV to phoebecheung@taylorroot.com

Please note our advertisements use PQE/salary levels purely as a guide. However we are happy to consider applications from all candidates who are able to demonstrate the skills necessary to fulfil the role.