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Job Description

A major investment bank, is look for a market risk methodology analyst to join their risk methodology team. 

Responsibilities:

Complex analysis, evaluation & decision-making

  • Analysis of market data time series, derivative products & their valuation
  • Perform quantitative analysis of key counterparty credit risk metrics such as CCE, PFE, EPE and CVA

Development of very complex methods, models or analysis as well as improvements

  • Development and documentation of methodology, model and process changes
  •  Management of large-scale (partial) projects (cross-divisionally/on an international scale) in line with the assigned tasks

Key skills:

  • Post-graduate degree or above in a quantitative discipline (mathematics, physics, statistics etc)
  • International financial markets, derivatives and counterparty credit risk
  • Analytical skills including a mastery of probability and financial mathematics
  • Knowledge of key counterparty risk measures (e.g. CCE, PFE, EPE, CVA)
  • Programming skills including proficiency in Excel, VBA, etc
If you are interested in this role please apply below or contact me for more information.