Senior XVA and Counterparty Credit Risk Quant Senior XVA and Counterparty Credit Risk Quant …

Financial Services
in London, England, United Kingdom
Permanent, Full time
Last application, 07 Jul 20
GBP85000 - GBP120000 per annum
Financial Services
in London, England, United Kingdom
Permanent, Full time
Last application, 07 Jul 20
GBP85000 - GBP120000 per annum
The role sits in the quantitative model development team will be involved in BAU and project work related to methodology, governance and regulatory initiatives

Financial Services Risk Specialist

Description

Supporting the quantitative model development team, the candidates are required to have sound knowledge and exposure to pricing models across different asset classes. This will include exposure to any of the following methodologies:-

Derivatives Pricing models - Strong knowledge on one of the asset classes of Rates, FX, Credit, Inflation or Commodities

Counterparty Credit Risk and CVA methodologies, PFE methodology

IMM models

Key responsibilities include:

Understanding business requirements, regulatory guidelines, determining appropriate modelling methodologies, model development in the proprietary library and integrating the models into existing systems, model documentation and review.

Profile

Good Mathematical and numerical skills with excellent knowledge of quantitative finance topics

Exposure to valuation/pricing models across asset classes with experience in different methods used.

Required to work on pricing of products and making use of market data items like interest rate curves and volatility surfaces

Experience and knowledge of regulatory initiatives such as Libor transition would be beneficial.

Strong exposure to various risk concepts including VaR, CVA, IMM and Risk-based margins amongst others is required.

Sound knowledge of standard tools and platforms used in the industry

Ability to explain complicated concepts with ease to a wide range of audiences.

Comfortable programming in one or more of the following C++/C#, Java, Python, R

Job Offer

Competitive salary around VP / Managerial level

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