Counterparty Credit Risk Exposure Quant - SVP

Job Summary

• London
• Permanent
• BBBH820736
• Jun 28, 2022
• Competitive

Job Description
Global investment bank seeks a Senior VP level Quant as part of its expanding Credit risk Analytics function responsible for the research and development of the Firm's credit exposure models

Role description:

The Credit Risk Analytics group is part of the Risk Methodology function within Risk Management. Credit Risk Analytics is responsible for the research and development of the Firm's credit exposure models. These models are used to measure and manage counterparty credit risk on a portfolio basis, to estimate regulatory/economic capital and CVA charges and to support the risk assessment of new trades. The group has a vacancy for a Quantitative Analyst in the London office.

The key objectives and responsibilities of the role are set out below:

• Research and development of new methodological framework for risk measurement of tail risk and highly collateralised exposures.
• Enhancement of counterparty exposure analytics for Securities Financing and OTC Derivatives.
• Business analysis and development of new methodologies, including prototypes where relevant.
• Support for the validation and testing of the new models.
• Presentation of new models to governance committees and internal clients.
• Model documentation and maintenance.
• Provision of quantitative support for the counterparty credit risk models, including pre-deal analysis.

Skills, experience, qualifications and knowledge required

Required:

• Experience of 3-5 years or more in similar role.
• Strong analytical, computing and problem solving skills.
• Master's or PhD degree in a quantitative field.
• Good knowledge of financial markets, including portfolio risk models and securities financing businesses.
• Strong communication and teamwork skills.

Desirable:

• Experience in modelling counterparty exposure for Securitised Products.
• Experience in modelling portfolio event and default risk.
• Experience in model prototyping in Python, C++, Java, VBA or similar.

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.