Head, Credit & Equity CCR Modelling (ED), London
- Employer
- Millar Associates
- Location
- London, United Kingdom
- Salary
- Total circa £300k + Benefits
- Closing date
- Mar 13, 2023
View more
- Job Function
- Other
- Industry Sector
- Finance - General
- Employment Type
- Full Time
- Education
- Bachelors
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KEY RESPONSIBILITIES:
ESSENTIAL SKILLS:
- Implement Credit & Equity Risk (CCR) models
- 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
- Provide day-to-day support for all relevant consumers of CCR data
- 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:
- 10 yrs+ experience developing/validating CCR models
- Strong understanding of today's economic & regulatory environment for Banks
- Experience in developing Credit and Equity models either for derivative pricing/risk management (e.g. Cox Ingersoll Ross, Hull White, Black Karasinsky).
- Experience in developing Credit and Equity models either for derivative CCR risk management (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
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