AVP/VP Counterparty Risk Quant recruitment

My client, a leading global bank with a significant presence in London, is looking for a Masters or PhD Qualified Quant with experience of developing IMM compliant counterparty risk measurement models.

The key responsibilities in the role are to calculate Counterparty Exposure on derivative products across all markets/asset classes. You will also be required to develop/create models/spreadsheets for exposure calculation. The role will require you to discuss complex structured transactions with business (structurers/traders) and risk managers.

Furthermore, you will be involved in risk mitigation and explaining counterparty risks to sales, trading credit risk management as well as participating in further development of Counterparty Analytics tools infrastructure.

You need to have demonstrable experience in a quantitative role, either in Banking or Consulting with good understanding of derivatives' risk/modelling/pricing. Ideally, your product knowledge will cover a wide range of derivative structures of different asset classes (e.g. FI, Eqty, cmdty, FX, Credit)

Please submit your CV for more information.

Knowledge of market credit risk management techniques/frameworks are desirable.