Head, Front Office Credit Flow & Equity CCR Modelling (ED), London
Total circa £300k + Benefits
Top-tier Investment Bank
Front Office CCR, Flow Credit Trading (or Equity), Derivatives Pricing, C++
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.
- 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.
- 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
+44 20 7589 8000