Counterparty Exposure Quant Analyst - Associate

Competitive
Permanent
City of London
09 Dec 2019
BBBH748761

Global investment bank seeks Associate level Quant as part of their expanding Counterparty Exposure risk Analytics team.

The successful candidate will be a member of the Counterparty Exposure team responsible for the development and maintenance of the Potential Future Exposure (PFE) models that are used to measure Counterparty Exposure.

These models are used for internal control limits and partly in economic capital calculations. The PFE is calculated in Markit Analytics (formerly known as QuIC) and covers Rates, FX, Credit, inflation, and is soon to include Equity.

In addition to the main PFE model, the team also has responsibility for models used for calculating counterparty exposure on other trades, such as the Potential Exposure model used for repo, the SIMM model used for Initial Margin, and the simulation model used to measure risk on structured financing trades. The team also supports model validation for front Office xVA model.

The candidate will work closely with other team members , credit risk management, the IT development teams, risk model validators and Front Office. The successful candidate will work in an inclusive and proactive way, ensuring that the team takes the lead in new model development and resolves issues as they arise, communicating clearly in management reports.

In this role, you will be responsible for counterparty risk modelling across banking arm and securities business under a dual-hat arrangement. Under this arrangement, you will act and make decisions on behalf of both the bank and the securities business, subject to the same remit and level of authority, and irrespective of the entity which employs you.

  • Assist with risk model development and maintenance
  • Develop, maintain and improve counterparty exposure models
  • Design and run model validation tests, for both model assumptions and implementation. Investigate issues and propose changes where there are model weaknesses.
  • Specify and test system changes to implement improvements.
  • Improve existing operational controls around the exposure models and propose new ones to increase robustness.
  • Support business and credit department requests in investigations into exposure calculations for specific trades.
  • Ad-hoc projects as required, including collaboration with market risk analytics and model validation.
  • Prepare summary reporting for working groups and committees that review model performance
  • Investigating issues
  • Ad-hoc projects as required
  • Proactively contribute to wider Risk function initiatives and projects.

Required

  • Understanding of financial markets and products including derivatives
  • Knowledge of principles of derivatives pricing
  • Familiarity with Excel and basic VBA

Desirable

  • Experience in a risk-related role
  • Knowledge of more advance programming languages (Python, C#, etc)

Education / Qualifications:

  • Finance or highly numerate education (Maths, Statistics, Engineering, Computer Science) at MSc level or above

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