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See SELBY-JENNINGS-LONDON 25 Job offers
Quantitative Counterparty Credit Risk Analyst-London-Salary: £ 50,000–85,000
A top British Investment Bank is trading a significant amount of exotic and structured products defying the trend to vanillas.
The bank is committed to growing and building an elite FO exposure management team to assess the portfolio risk across all the different business lines, to implement new risk strategies, work with market risk to approve trades and advise the business on how much exposure the bank can take.
Counterparty Credit Risk Analyst.
The role is a Front Office Credit Risk Analyst position, the bank is looking for someone who has an educational or working background in Statistics who can come in and implement new risk strategies.
Actual responsibilities:
-Counterparty Credit Risk-exposure measurement on derivatives transactions (trading book),
-Deal and Trade Approval analysis in conjunction with market risk,
-Methodology and calculation of credit, CVA and regulatory measures (e.g. PFE, EPE, EEPE, RWA) on a wide range of vanilla and exotic derivative products for uncollateralised and collateralised portfolios,
-Calibration and implementation of models ranging from variations of Vasicek, OU, CIR to semi-parametric historic simulation models,
-Risk mitigation: netting, collateral,
-Basel II, BIPRU, IMM,
-Work with Market Risk in the evaluation of VaR,
-Good knowledge of stochastic processes,
-Knowledge of Monte-Carlo techniques and numerical methods.
Ideal candidate:
-Counterparty credit risk analyst,
-Strong knowledge of PFE, EPE, EEPE,
-Knowledge of Basel II, BIPRU requirements with regards to CCR,
-Ability to code in at least one of C++/C#/F#/Matlab,
-Background in Statistics,
-Project management and leadership experience.
This role is ideal for someone looking to join a team that will grow progressively over the next 2 years. It is an ideal time to join as within a year you will have the opportunity to grow and evolve and become a key member of the team in a short period of time.
All applications by mail
Apply by email.
Please do not modify the subject of the mail or your application will not be considered.
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