A global top tier bank client of ours are on the lookout to add a Senior Quant Analyst to their Counterprty Credit and XVA quant team.
This is a role responsible for identifying and investigating deficiencies in CCR&XVA models, then addressing them by developing enhanced methodologies and software/library components for a more accurate CCR&XVA risk measurement and management.
Throughout the process, regular inter-action with key stakeholders is expected which add to the role the requirement for strong communication skills. The core objectives are to review and improve or re-build the existing suite of models and methodologies, to drive improvements to the systems and data infrastructure supporting deployment of CCR&XVA models, and to coordinate projects aimed at aligning methodologies, governance and policies around the Group, and keep abreast of business (trading, structuring & credit risk manager) and regulatory requirements, and engage in industry discussions aimed at informing policy.
Knowledge & experience / qualifications
- 3+ years of experience in CCR/XVA Quantitative Analytics team. Having been personally involved in building simulation(Monte Carlo scenario generation) models and developing simulation solution in C++ libraries.
- Ideally previously involved in successful regulatory submissions (Successful ECB submission is a plus).
- Ability to lead, manage and successfully deliver projects within the agreed time scale, in liaison with all relevant stakeholders: model owners, credit, business, IT, senior management and regulators.
- Clear and demonstrable familiarity with key risk measures such as CVA, EPE, PFE.
- Minimum Masters level in Math/Computer Science/Engineering discipline.
- Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation technics.
- Ability to break methodology design in atomic testable blocks that can be implemented in automated testing suite.
- Ability to construct automated testing suite around BAU work to avoid redundancy and repetition in daily routine.
- Expert C++ developer not afraid to learn other languages (passionate about profiling, refactoring and optimising messy code) and with Test Driven Development approach.
- Open personality and effective communication skills, ability and flexibility to work in an international team.
- Ability to write clear and understandable documents.
More details and a job spec can be proivided upon request.
If you are interested in this role please apply below or contact me for more information.
