You are visiting this website from:
View All Jobs

Counterparty Credit Risk Analytics Quant Analyst, VP

Job Seekers United Kingdom Risk Management

Job Summary

  • London
  • Permanent
  • BBBH800185
  • Nov 25, 2021
  • Competitive
Job Description

Global investment bank seeks a VP level Quant analyst as part of its expanding Counterparty Credit Risk Analytics function.

This role sits within the Counterparty Credit Risk Analytics Quant team that provides, maintains, and monitors models, data, and tools related to counterparty credit risk (CCR) of traded products, including models focused on both bilateral counterparty and central counterparty clearing (CCP) risk. CCRAQ supports the Credit Risk and Wholesale communities in understanding the risk drivers of material changes in model outputs.

Responsibilities:

  • Development, testing, documentation and maintenance of counterparty credit risk models: these will include risk factor simulation models, pricing models, aggregation models as well as back testing methodology

  • Support of the counterparty credit risk platform, including investigation and resolution of model-related system issues and practical quantitative support to model users

  • Improvements to model development infrastructure, such as test harnesses, support utilities, visualization tools

  • Partner with internal groups including Capital, Risk, Technology, Model Risk Management and Market Risk Management on model enhancement, performance testing and documentation to remediate internal and external requirements

  • Work in quantitative modelling on fixed income and/or commodity products on behalf of a global financial institution

  • Prepare developmental evidence and document to support internal and external exams

  • Identifying common themes across global markets along with improvement initiatives

  • Communicating the results of this analysis to all model stakeholders including risk management, model development, model risk, senior management and our regulators

  • Supporting model development in confirming remediation of model issues prior to their being taken live

  • Driving incremental improvement to our model performance assessment tool set across all business areas

Core Skills:

  • Master's degree or PhD required (preferably in Mathematics, Statistics, Physics or related field) and 3-6 years' experience working in quantitative modelling in credit risk, CVA, model valitation, or front office model development within a global financial institution

  • Experience with mathematically sophisticated financial modelling, preferably in counterparty credit risk or XVA

  • Ability to express technical concepts clearly in written and spoken English

  • Programming skills: key languages are C++ and Python; a solid understanding of sound software development principles

  • Up-to-date knowledge of industry trends and developments, a commercial instinct, and an understanding of sound risk management principles

  • Good written and oral communication, interpersonal and organizational skills and ability to build and maintain relationships with personnel across areas and regions

  • Ability to multitask with excellent time management skills

  • Sense of focus and rigor in the completion of deliverables

  • Pro-active behaviour with capacity to seize initiative

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.

BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.

broadbean-tracking

Consultant Details

Consultant Details

Alex Riedl
Alex Riedl
  • Principal Consultant | Risk Management Recruitment
  • +44 (0)20 7092 0103
  • ariedl@morganmckinley.com