Quantitative Analyst - CCR & xVA Quantitative Analyst - CCR & xVA …

Brickendon Consulting Ltd
in London, England, United Kingdom
Contract, Full time
Last application, 30 Sep 19
Competitive
Brickendon Consulting Ltd
in London, England, United Kingdom
Contract, Full time
Last application, 30 Sep 19
Competitive
Brickendon Consulting Ltd
Brickendon Consulting are engaged by its investment banking clients to provide teams of consultants to manage the impact and change of FRTB and IBOR transition across the marketplace.

Brickendon is an award-winning global transformational management and technology consultancy, specialising in innovative solutions and products that save our clients time, money and reputation. Our people are intelligent and focused high achievers, with an average of 10 years’ domain experience.

 

An overview of sample responsibilities:

  • Review and improve or re-build the existing suite of models and methodologies
  • Identify and investigating deficiencies in CCR&XVA models
  • Develop enhanced methodologies and software/library components for a more accurate CCR&XVA risk measurement and management
  • Drive improvements to the systems and data infrastructure supporting deployment of CCR&XVA models, and
  • Coordinate projects aimed at aligning methodologies, governance and policies around the Group
  • Keep abreast of business (trading, structuring & credit risk manager) and regulatory requirements
  • Engage in industry discussions aimed at informing policy.

The Quantitative Analyst will possess the following skills and experience;

  • University degree in a quantitative field
  • Ideally 3 years+ experience in Risk Analytics
  • Knowledge, interest or experience in CCR/XVA
  • Clear and demonstrable familiarity with key risk measures such as CVA, EPE, PFE
  • Knowledge and understanding of Markets/ Derivatives products
  • Quantitative knowledge of pricing models
  • Quantitative knowledge of Interest Rate pricing models beneficial
  • Understanding of traded risk regulations and upcoming directives.
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