Snr CCR Quant Analyst (VP), London & Paris

Recruiter
Millar Associates
Location
London, United Kingdom
Salary
Total to £250k + Benefits
Posted
19 Nov 2022
Closes
19 Dec 2022
Ref
17833415
Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
CCR Modelling, Credit Risk, Cross-Asset Derivatives Pricing, C++

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 5+ years' experience developing/validating CCR models
  • Knowledge of CCR Exposure calculations EE, EPE, PFE, etc.
  • 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