Job Overview

Quantitative C++/ Java Counterparty Credit Risk CCR & XVA

Location: London Salary: From £1000 - £1500 + day rate
Type: Contract Contact: Shanaz Rob
Posted: 11 months ago

Quantitative Analyst - Counterparty Credit Risk CCR & XVA is wanted for a global investment bank. 

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.

Must have experience:

  • CCR/XVA quantitative analytics team. Having been personally involved in building simulation (Monte Carlo scenario generation) models and developing simulation solution in C++ libraries.
  • Built or participated actively or had a key role in the mathematical design and software development in C++ of a simulation model of at least one of the risk factor required for EPE.
  • Depth experience in modelling the EPE.
  • Must have built a simulation model for at least one of the risk factor required for EPE modelling. C++. EPE modelling is the DNA of both Counterparty Credit Risk (CCR) and XVA.
  • Ideally previously involved in successful regulatory submissions (successful ECB submission is a plus).
  • 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.

If you are interested in this role please apply ASAP below or contact me for more information.