Counterparty Credit Risk Methodology

London, England, United Kingdom

The vacant quantitative analyst position currently sits within the Cross Product stream. It is a demanding role, requiring not only analytical and quantitative modelling skills, but also a good understanding of the broader quantitative modelling and risk landscape, a sound programming background, and strong communication skills.

Key responsibilities

  • Research, design and prototype risk methodologies, respecting the aims of accurately capturing market or counterparty risks;
  • With a view to facilitate downstream model validation, ensure that all required developmental evidences are produced, thereby justifying and documenting all methodological choices, any underlying assumptions or approximations, as well as model limitations;
  • In close cooperation with the IT teams, design, develop and test code changes required to implement the risk methods in the team’s proprietary library (C#) and ultimately within the production risk systems;
  • Support regulatory interactions.
  • In an advisory capacity and where the standard and systematic methods may not be applicable or appropriate, assist risk managers and FO in the prompt and accurate risk assessment of exotic transactions.

Skills & experience required:

To be successful in this role, the candidate should meet the following requirements:

  • A strong academic background, with at minimum a Masters in mathematics, physics or quantitative finance. A Ph.D. is preferred but not essential, depending upon level of experience;
  • A strong interest in risk management best practises, financial markets and economic developments; an understanding and awareness of the regulatory framework is desirable but not essential;
  • Proven experience in a quantitative finance environment, preferably in a market risk or counterparty risk modelling capacity, although other backgrounds (e.g. Front Office quantitative research, model validation) will also be considered;
  • A practical knowledge of derivatives, their risk drivers and the models used to price them; sound understanding of stochastic processes and their application to risk factor simulations;
  • Previous experience in C# or C++ in a source-controlled environment;
  • The role will expose the candidate to a wide range of professionals within the bank. Therefore, communication skills, both written and verbal, play an essential part of the day-to-day role. Previous experience in interacting with Front Office, validation functions and regulatory bodies is a plus;