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Traded Credit Quantitative Manager

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Salary £100k to £135k
Type Permanent
Location London
Sector Credit & Risk Management
Job Reference T55/TXH/28607
Contact Tim Holbrough
Date posted 16-04-2018

Global bank seeking a Traded Credit Quantitative Manager to join their London office.

Key Responsibilities
• This is a role responsible for identifying and investigating deficiencies in CCR&XVA models, then addressing them by developing enhanced methodologies and software/library components for a more accurate CCR&XVA risk measurement and management. Throughout the process, regular inter-action with key stakeholders is expected which add to the role the requirement for strong communication skills.
• The development of new models to a tight timeframe with a potentially changing set of regulatory requirements.
• Understand traded credit risk and quantify risks using advanced mathematical technics (Stochastic calculus) and programming languages (C++, QuiC, Java).
• Being able to clearly explain model details to other areas of the bank in non-technical language.

Knowledge & Experience / Qualifications
• At least 4 years of experience in CCR/XVA Quantitative Analytics team. Having been personally involved in building simulation(Monte Carlo scenario generation) models and developing simulation solution in C++ libraries
• Ideally previously involved in successful regulatory submissions (Successful ECB submission is a plus).
• Clear and demonstrable familiarity with key risk measures such as CVA, EPE, PFE.
• Minimum Masters level in Math/Computer Science/Engineering discipline
• Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation technics
• Ability to break methodology design in atomic testable blocks that can be implemented in automated testing suite
• Expert C++ developer not afraid to learn other languages (passionate about profiling, refactoring and optimising messy code) and with Test Driven Development approach

For applications or enquiries, email Tim.Holbrough@BRUINFinancial.com

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AVP, Consultant