- London, England, United Kingdom
- Permanent, Full time
- Barclay Simpson
Counterparty Quantitative Analyst
Opportunity to join a leading bank developing quantitative models and analytical tools for CCP/CCR and stress testing.
Developing and supporting on a range of CCR/PFE and CCP models,
Assessment of derivative products, Risk factor modelling ,collateral treatment, margining and aggregation.
Deep Dive assessments of CCPs including their capital requirement and risk frameworks
Working with the Centre of Exclellence (CoE) Stress Testing to enchance the Infrastructure and analytic processes
Working on a range of Analytics requirements, for methodologies and models.
- Knowledge of Fixed Income products, interest rate swaps, FX swaps, basis swaps and other credit products.
- Understand of Risk methodologies, product valuation and stress testing, across asset classes
- Strong Programming skills in Python
- Masters or PhD