Head, Front Office Credit Flow & Equity CCR Modelling (ED), 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.  They now urgently seek an ED level senior Quant to join their front office Global Quant team to be responsible for Credit & Equity CCR Analytics.

The global team is responsible for their cross-asset derivatives pricing library which is the core engine of the trading and risk management platform, delivering real-time pricing models, and develops the Core analytics used in many regulatory Credit and Capital computation and portfolio level analytics.

KEY RESPONSIBILITIES:

• Develop & implement CCR models for Credit Flow & Equity derivatives as a leading member of the Front Office Quant Team
• Liaise with Front Office Trading to support their understanding of PFE risk
• Support Risk Management to improve CCR management
• Produce analytics documentation and test material
• Improve risk and regulatory related analytics
  
• Support the development of CCR exposure simulation methodologies and tools
• Develop tools to monitor CCR model performance
• Assist risk reporting with tools to review trading book credit risk exposure.

ESSENTIAL SKILLS:

• 5-10 yrs+ experience developing/validating CCR models
• Experience in developing Credit & Equity models for either derivative pricing or model risk (e.g. Cox Ingersoll Ross, Hull White, Black Karasinsky).
  
• Experience in developing derivative CCR models (e.g. contagion model, copula, systemic jump models).
• Good knowledge of numerical methods, stochastic calculus, and probability theory
• Excellent programming skills in C++
• Knowledge of financial market products, market conventions and regulatory requirements
• PhD or Masters in a scientific discipline