Counterparty Credit risk modelling - AVP

The role:

• Understand counterparty credit risk (CCR), and economic and market environment in which the Group operates

• Develop counterparty credit risk exposure measurement methodologies and risk assessment tools;
• Develop processes designed to monitor existing CCR model performance, analyse their output and prepare reports for stakeholders;
• Assist credit risk reporting functions in the development of effective reporting tools enabling responsive and proactive reviews of the trading book credit risk exposure.

The candidate

• Masters or PHD in Financial Mathematics, Statistics, Science, or Engineering
• Quantitative work experience in a financial institution, preferably in derivatives area and understanding of counterparty credit risk modelling