Counterparty Credit Risk Quant – London
- Job Type:
- London, United Kingdom
- Base: £80k - £120k, Bonus
- 020 7871 4482
Associate/VP level Quantitative Analyst to join the Quantitative Risk Group with focus on Counterparty Credit Risk models used for client’s risk-management.
Projects include Research, design and prototype risk methodologies, respecting the aims of accurately capturing market or counterparty risks. Strong C++ and financial maths required, and a focus on the practical delivery of working products to the business in a timely manner.
The team’s remit includes all the IMM models in use within the bank such as EEPE, Stressed EPEE, Regulatory CVA models in the counterparty risk space.
- Deep understanding of risk models and their limitations, valuation under the risk-neutral as well as physical measures, hedging and risk management
- A strong interest in risk management best practises, financial markets and economic developments; an understanding and awareness of the regulatory framework is desirable but not essential;
- Strong interpersonal and communication skills (verbal and written).
- Ability to work in a fast-paced environment.
- Projects include Research, design and prototype risk methodologies, respecting the aims of accurately capturing market or counterparty risks
- Design, develop and test code changes required to implement the risk methods and ultimately within the production risk systems
- Close cooperation with the IT teams
- Interacting with trading desk
- Working independently to complete projects.
- MSc or PhD in a mathematical/Quant Finance subject.
- Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.
Our Client is a Tier 1 Investment bank