Find a Job

View detailed job description

Counterparty Credit Risk Modelling

Apply
Salary Competitive
Type Permanent
Location London
Sector Credit & Risk Management
Job Reference T56/TXH/33611
Contact Tim Holbrough
Date posted 04-02-2020

We are looking to speak to candidates from a Counterparty Credit Risk Modelling background for an exciting opportunity with a leading bank here in London. You will be involved in the validation, ongoing performance monitoring and governance of PFE and XVA models.

Key responsibilities:

- Independent validation and development of Potential Future Exposure (PFE) models, and validation of models used for the calculation of CVA, FVA and KVA valuation adjustments
- Ongoing monitoring of the performance of PFE and XVA models
- Liaising and working collaboratively with other stakeholders
- Involvement in the IBOR transition project through validation of new products

Key skills:

- Strong mathematical skills and a good working knowledge of Mathematical Finance theory
- Strong programming skills in Python and/or C++ (or similar language)
- Practical ‘hands-on’ model implementation experience
- Experience as a quantitative analyst in a large investment banks or similar financial institution in the role of a developer or validator of Front Office pricing models or risk management models

Ready to apply for this job? Apply Now

Contact Tim about this job

AVP, Consultant