Counterparty Credit Risk Quant AVP/VP

Competitive
Permanent
London
27 May 2020
BBBH760274

Global investment bank seeks AVP or VP level Counterparty Credit Risk Quant Analyst.

The Counterparty Risk Analytics team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures for derivatives products. These models are used for advanced Basel regulatory capital calculations and internal risk management measures. The role's focal point will be to support the further development of the counterparty risk analytics framework.

Key Responsibilities: ● Contribute to counterparty credit risk model development; Perform rigorous model testing, including back-testing and other testing involved in the model development process;

Conduct statistical analysis on large volume of financial data; Prepare model documentations and coordinate with risk IT technology to test implementation of counterparty credit risk models;

Build-up of local expertise in counterparty credit risk models and relationships with internal risk management and other functions;

Support for regulatory capital model approvals and related risk management processes Development Value: In-depth knowledge for all counterparty credit risk models and all trading book products will provide significant business and personal development opportunities

Gain extensive product/structure knowledge of all asset classes ● Gain deep understand on a high level view of industry regulatory requirements ● Interaction with all businesses :

Experience: Solid Working knowledge as a quant in the financial industry

Qualifications: MSc/PhD in a quantitative field; Knowledge: Excellent mathematical skills, including stochastic calculus, probability and statistics; ● Skills: Implementation work will require strong knowledge of programming in Python, C++ or other appropriate language ● Competencies: Excellent communication skills, both oral & written; ability to organize time, work to a plan, and finish all tasks accurately and on time; strong motivation and desire to learn; team working.

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.

BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.

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Alex Riedl's picture
Principal Consultant
London + 44 20 7092 0103 | ariedl@morganmckinley.com