Quantitative Analyst – Counterparty Risk and XVA
- £125-135k plus benefits
- London, England, United Kingdom
- Permanent, Full time
- 10 Feb 19
Would you like to leverage your Quantitative traded credit risk/XVA and C++ experience for Global bank based in Canary Wharf? How about taking responsibility for reviewing, improving, and re-building CCR/XVA models, libraries, and methodologies and coordinating these projects?
This role could be for you:
- Identifying and investigating deficiencies in CCR & XVA models
- Addressing issues by developing enhanced methodologies and software/library components for a more accurate CCR & XVA risk measurement and management.
- Review, improve or re-build the existing suite of models and methodologies
- Drive improvements to the systems and data infrastructure supporting deployment of CCR & XVA models
- Coordinate projects aimed at aligning methodologies, governance and policies
- Working with extensively with stakeholders i.e. traded credit risk management, XVA business areas, structuring, trading, sales, regulatory finance, product control etc
- Engaging in industry discussions to inform policies
To be successful in this role you will ideally have sound experience working in a counterparty credit risk / XVA Quantitative Analytics team and exposure to building simulation (Monte Carlo scenario generation) models and developing with C++.
In return you will receive up to circa £135k base plus full benefits package.