Quantitative Risk Analyst Quantitative Risk Analyst …

Huxley Banking & Financial Services
in London, England, United Kingdom
Contract, Full time
Be the first to apply
Negotiable
Huxley Banking & Financial Services
in London, England, United Kingdom
Contract, Full time
Be the first to apply
Negotiable
A Leading Bank are expanding their Quantitative Risk Management remit which covers model validation, model risk management and quantitative support of counterparty risk calculations for derivatives transactions. * Model validation for derivatives pricing and credit risk models * Familiarity with credit risk measures such as PFE, EPE, CVA * Programming ability in C# or Python

A Leading Banking client are expanding their Quantitative Risk Management remit which covers model validation, model risk management and quantitative support of counterparty risk calculations for derivatives transactions. Due to the nature of the client, the successful Quant will have alot of exposure to all divisions within the Bank and various projects.

Daily Accountabilities:

  • Model validation for derivatives pricing and credit risk models
  • Providing quantitative support to counterparty risk calculations including calibration of credit simulation models to historical data and pre-trade analysis of credit risk of derivatives transactions
  • Documenting model validation and testing results

The Successful Quantitative Analyst will need the following expertise:

  • MSc in a quantitative discipline preferably in Physics, Maths, Quant Finance or Engineering.
  • Proven track record in Model validation, Model development and would be advantageous to have experience of Counterparty Risk analysis of derivatives transactions
  • Familiarity with credit risk measures such as PFE, EPE, CVA
  • Wide product knowledge across asset classes
  • Strong knowledge of pricing and risk models including Monte-Carlo techniques
  • Programming ability in C# or Python

If this is of interest to you please reply with your updated resume.

To find out more about Huxley, please visit www.huxley.com

Huxley, a trading division of SThree Partnership LLP is acting as an Employment Business in relation to this vacancy | Registered office | 1st Floor, 75 King William Street, London, EC4N 7BE, United Kingdom | Partnership Number | OC387148 England and Wales

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