Counterparty Quant (IMM) - VP

  • Negotiable
  • London, England, United Kingdom
  • Permanent, Full time
  • Robert Walters UK
  • 28 Nov 17 2017-11-28

An excellent opportunity has arisen for a VP level Counterparty Quant to join a top tier investment bank in London. The role sits within the prominent EMEA Credit Risk Methodology group and will be technically challenging. Therefore, only quantitative candidates with excellent programming skills will be considered.

Key responsibilities for the Counterparty Quant (IMM):

  • Responsible for developing IMM Credit Risk exposure methodologies and enhance the framework
  • Measuring potential exposures with Monte Carlo Simulations, Initial Margin and Cashflow Spikes
  • Working together with Credit IT to code data and implement methodologies
  • Monitoring and backtesting the exposure models
  • Ensuring that the models are in line with PRA regulations and provide information that can be presented to the regulator

The Counterparty Quant (IMM) must have:

  • A strong academic background in a quantitative discipline such as Mathematics, Physics or Engineering
  • Advanced programming skills, primarily in Python. Candidates with experience using C++, Java or Matlab will be viewed in a positive light
  • Previous experience in a similar role, working on Counterparty models in a quantitative team within an investment bank
  • An understanding of Counterparty models (PFE), including current regulations (IMM and IRC) and capital requirements (from Basel and EU regulatory authorities)
  • An understanding of Monte Carlo Simulation and numerical analysis

If you would like to find out more about the Counterparty Quant role based in London, please contact Vera Grass on or 02075098772.