The role involves working within the Quantitative Risk Management in the areas of model validation, model risk management and quantitative support of counterparty risk calculations for derivatives transactions. The new hire will play a key role in the upgrade of the Counterparty Risk system by providing product knowledge, performing quant analysis and model testing for the upgrade project. Being a part of a small group the new hire will have an opportunity to contribute to various areas of Quant Risk function by providing quantitative expertise to the ongoing activities of the Risk Management.
- Model validation for derivatives pricing and credit risk models and, in some cases, independent replication of the results;
- Providing quantitative support to counterparty risk calculations including calibration of credit simulation models to historical data and pre-trade analysis of credit risk of derivatives transactions;
- Product and market data analysis in Front Office and Risk systems to ensure correct risk representation;
- Detailed analysis and regression testing of pricing and Monte-Carlo simulation models used for credit risk calculations
- Documenting model validation and testing results;
- Further development of in-house quant risk tools in C# and Python
Key Competencies & Qualifications
- Higher quantitative degree essential, preferably in Physics, Maths, Quant Finance, or Engineering.
- Proven track record in one or more of the following areas in an investment banking environment:
- Model validation
- Model development
- Counterparty Risk analysis of derivatives transactions
- Wide product knowledge across asset classes;
- Strong knowledge of pricing and risk models including Monte-Carlo techniques;
- Familiarity with credit risk measures: PFE, EPE, CVA;
- Solid quantitative skills and ability to carefully analyse data at a detailed level;
- Programming ability, preferably in C# or Python - good to have;
- Knowledge of Calypso and Adaptiv Credit Risk systems - useful but not essential.