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.