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See SELBY-JENNINGS-LONDON 25 Job offers
Front Office Quantitative Counterparty Credit Risk Analyst-London-Salary: £ 65,000–95,000
A Top British bank is looking for a Counterparty Credit Risk Analyst. The role is a Front Office Credit Risk Analyst position with a background in statistics who can come in and implement new risk strategies.
A top 3 British investment bank is trading a significant amount of exotic and structured products defying the trend to vanillas.
The bank is committed to growing and building an elite FO exposure management team to assess the portfolio risk across all the different business lines, to implement new risk strategies, work with market risk to approve trades and advise the business on how much exposure the bank can take.
Actual responsibilities:
-Counterparty Credit Risk-exposure measurement on derivatives transactions (trading book),
-Deal and Trade Approval analysis in conjunction with market risk,
-Methodology and calculation of credit, CVA and regulatory measures (e.g. PFE, EPE, EEPE, RWA) on a wide range of vanilla and exotic derivative products for uncollateralised and collateralised portfolios,
-Calibration and implementation of models ranging from variations of Vasicek, OU, CIR to semi-parametric historic simulation models,
-Extensive project management exposure,
-Development of risk strategy,
-Continually communicate effectively with both quant/IT as well as Front Office audience,
-Experience of analysing the time series data,
-Good knowledge of stochastic processes,
-Knowledge of Monte-Carlo techniques and numerical methods.
Ideal candidate:
-Counterparty credit risk analyst,
-Strong knowledge of PFE, EPE, EEPE,
-Knowledge of Basel II, BIPRU requirements with regards to CCR,
-Ability to code in at least one of C++/C#/F#/Matlab,
-Background in Statistics,
-Project management and leadership experience.
Key Words: Credit, Risk, PFE, Exposure, C++, Counterparty, Quantitative
All applications by mail.
Apply by email.
Please do not modify the subject of the mail or your application will not be considered.
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