Brickendon Consulting have existing projects with a number of banks and have been engaged to provide teams of Quantitative Developers deliver CCR and XVA model projects.
- This is a role responsible for identifying and investigating deficiencies in CCR&XVA models
- Address them by developing enhanced methodologies and software/library components for a more accurate CCR&XVA risk measurement and management.
- Review and improve or re-build the existing suite of models and methodologies,
- Propose mathematically sound alternative to address methodology deficiencies.
- Modify existing library component to resolve issues
- Drive improvements to the systems and data infrastructure supporting deployment of CCR&XVA models,
- Coordinate projects aimed at aligning methodologies, governance and policies around the Group,
- Keep abreast of business (trading, structuring & credit risk manager) and regulatory requirements,
- At least 4 years of experience in CCR/XVA Quantitative Analytics team.
- Experience building CVA Sensitivities models and developing solutions in Java or C++ libraries
- Ability to lead, manage and successfully deliver projects within the agreed time scale
- Experience liaising with all relevant stakeholders: model owners, credit, business, IT, senior management and regulators.
- Familiarity with key risk measures such as CVA, EPE, PFE.
- 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 Java or C++ developer but not afraid to learn other languages
- Open personality and effective communication skills, ability and flexibility to work in an international team