Lead CCR Quant Analyst / Modeler, (VP, Dir), London Lead CCR Quant Analyst / Modeler, (VP, Dir),  …

Millar Associates
in London, United Kingdom
Permanent, Full time
Be the first to apply
Total to £250k
Millar Associates
in London, United Kingdom
Permanent, Full time
Be the first to apply
Total to £250k
Posted by:
Craig Millar • Recruiter
Posted by:
Craig Millar
Recruiter
Our client, a very strong Global Investment Bank, operating across the world’s most dynamic markets and a great reputation for state-of-the-art technology, is now looking to hire a Quantitative Analyst to lead the development of Counterpart Credit Risk (CCR) Models. Their Quant team is responsible for development of the cross asset derivatives library and for Credit Regulatory Analytics & Capital calculations. Based in the vibrant City of London, you will work with highly talented Quants and gain deep exposure to the asset class.

CCR Modelling, Credit Risk, Cross-Asset Derivatives Pricing, C++

RESPONSIBILITIES:

  • Develop & implement Counterparty Credit Risk (CCR) models
  • Provide day-to-day support for all consumers of CCR data
  • Improve risk and regulatory related analytics
  • Lead the development of CCR exposure simulation methodologies and tools
  • Develop tools to monitor CCR model performance & output for stakeholders
  • Assist in developing credit risk reporting tools for reviews of trading book credit risk exposure

ESSENTIAL SKILLS:

  • Minimum 5+ years’ experience developing/validating CCR models
  • PhD or Masters educated in a quantitative field (Physics, Maths, Financial Engineering)
  • Knowledge of financial market products, conventions & regs
  • Good knowledge of numerical methods, stochastic calculus, & probability theory
  • Excellent programming in C++
  • Project Management skills a definite advantage
  • Able to communicate complex ideas in a clear manner
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