Counterparty Exposure Quant Analyst - Associate/AVP

Job Description

Global investment bank seeks an Associate/AVP level Quant Analyst as part of their Counterparty Exposure team in Risk Analytics.

The successful candidate will be a member of the Counterparty Exposure metrics sub-team . The team is responsible for the development and maintenance of the Potential Future Exposure (PFE) models that are used to measure Counterparty Exposure. These models are used for internal control limits and partly in economic capital calculations. The PFE is calculated in Markit Analytics (formerly known as QuIC) and covers Rates, FX, Credit, inflation, and is soon to include Equity.

In addition to the main PFE model, the team also has responsibility for models used for calculating counterparty exposure on other trades, such as the Potential Exposure model used for repo, the SIMM model used for Initial Margin, and the simulation model used to measure risk on structured financing trades. The team also covers model validation for the front office xVA model and it enhancements.

The candidate will work closely with other team members in Risk Analytics, credit risk management, the IT development teams, risk model validators and Front Office. The successful candidate will work in an inclusive and proactive way, ensuring that the team takes the lead in new model development and resolves issues as they arise, communicating clearly in management reports.

• Assist with risk model development and maintenance
• Develop, maintain and improve counterparty exposure models
• Design and run model validation tests, for both model assumptions and implementation. Investigate issues and propose changes where there are model weaknesses.
• Specify and test system changes to implement improvements.
• Improve existing operational controls around the exposure models and propose new ones to increase robustness.
• Support business and credit department requests in investigations into exposure calculations for specific trades.
• Ad-hoc projects as required, including collaboration with market risk analytics and model validation.
• Prepare summary reporting for working groups and committees that review model performance
• Investigating issues
• Ad-hoc projects as required

Required

• Understanding of financial markets and products including derivatives
• Knowledge of principles of derivatives pricing
• Familiarity with Excel/VBA

Desirable

• Experience in a risk-related role
• Knowledge of advanced programming languages (Python, C#, R)
• 1 to 2 years' experience in a Financial Services firm

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

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