Snr CCR Quant Analyst (VP), London, Paris & Dubai
- Employer
- Millar Associates
- Location
- London, United Kingdom
- Salary
- Total to £250k + Benefits
- Closing date
- Apr 12, 2023
View more
- Job Function
- Other
- Industry Sector
- Finance - General
- Employment Type
- Full Time
- Education
- Bachelors
You need to sign in or create an account to save a job.
CCR Modelling, Credit Risk, Cross-Asset Derivatives Pricing, C++
RESPONSIBILITIES:
ESSENTIAL SKILLS:
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
You need to sign in or create an account to save a job.
Sign in to create job alerts
Sign in or create an account to start creating job alerts and receive personalised job recommendations straight to your inbox.
Create alert