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|Sector||Credit & Risk Management|
Global bank seeking a Traded Credit Quantitative Manager to join their London office.
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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