Snr XVA-CCR Quant Analyst (VP), London

This global Investment Bank operates across the world’s most dynamic markets and has a great reputation both as a caring employer and for its state-of-the-art technology.  It is now seeking to hire a Senior Quant Analyst for the development of Counterpart Credit Risk (CCR) Models based in its London, Paris or Singapore hubs.

The team is responsible for a new Cross-asset derivatives & Capital models library which is the core engine of the trading & risk management platform.  You will work with highly talented Quants and gain deep exposure to the asset class in a friendly and collaborative environment.

RESPONSIBILITIES:

• Develop & implement Counterparty Credit Risk (CCR) models
• Implement new risk & regulatory related analytics
• Develop CCR exposure simulation methodologies and tools
• Develop tools to monitor CCR model performance for stakeholders (Trading, Sales, Structuring & Risk)
• Developing credit risk reporting tools for trading book credit risk exposure

ESSENTIAL SKILLS:

• Minimum 3-6 years’ experience developing/validating, XVA / CCR models
• Knowledge of CCR / ECL Exposure calculations 
• Good knowledge of numerical methods, stochastic calculus, & probability theory
• Excellent programming in C++
• Able to communicate complex ideas in a clear manner
• PhD or Masters in a scientific discipline