Snr CCR Quant Analyst (VP), London, Paris & Dubai
Millar Associates London, United Kingdom C
This global Investment Bank operates across the world’s most dynamic markets and has a great reputation both as a caring employer and for its state-of-the-art technology. It is now seeking to hire a Senior Quant Analyst for the development of Counterpart Credit Risk (CCR) Models based in its London, Paris or Singapore hubs. The team is responsible for a new Cross-asset derivatives & Capital models library which is the core engine of the trading & risk management platform. You will work with highly talented Quants and gain deep exposure to the asset class in a friendly and collaborative environment.
CCR Modelling, Credit Risk, Cross-Asset Derivatives Pricing, C++
RESPONSIBILITIES:
- Develop & implement Counterparty Credit Risk (CCR) models
- Implement new risk & regulatory related analytics
- Develop CCR exposure simulation methodologies and tools
- Develop tools to monitor CCR model performance for stakeholders (Trading, Sales, Structuring & Risk)
- Developing credit risk reporting tools for trading book credit risk exposure
ESSENTIAL SKILLS:
- Minimum 5+ years’ experience developing/validating CCR models
- Knowledge of CCR Exposure calculations EE, EPE, PFE, etc.
- Good knowledge of numerical methods, stochastic calculus, & probability theory
- Excellent programming in C++
- Able to communicate complex ideas in a clear manner
- PhD or Masters in a scientific discipline
Job ID CCR-1811
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