Counterparty Credit Risk Model Review recruitment
You will be focused on providing expertise on counterparty credit risk related to derivative and securities financing transactions activities.
Responsibilities
Review of counterparty risk modelling, measurement and management and assessing against international Basel 2 standards for capital requirements. Central counterparties risk management practices are also assessed against relevant standards.
Analysing industry data and following industry trends to inform and deepen the client's understanding and assessment of counterparty risk and counterparty risk management, and contribute to the development of policy and practice for counterparty risk.
Collaboration with other teams (e.g. market, credit, operational or liquidity risk review teams) to ensure that risks of different natures arising from counterparty relationships across market players are identified and managed consistently.
Acting as a mentor to more junior staff
Sharing specialist knowledge across the organisation and externally.
Occasional travel for a few days at a time may be required.
Essential:
Substantial industry experience either (a) building or validating counterparty credit risk or market risk exposure models; or (b) managing counterparty credit risk with a detailed understanding of credit risk exposure modelling.
A high degree of familiarity with industry practice in counterparty credit risk measurement and management is essential.
A strong knowledge of traded instruments, risk factor diffusion models, front office pricing models and exposure calculation methods.
Good understanding of the Basel 2 IMM requirements.
Proven quantitative skills with a post-graduate degree in a quantitative or finance-related discipline.
Excellent communication skills
Further information on application
Empiric Solutions were established in 2005 and are one of the foremost providers of niche and specialist recruitment services within IT, Finance and Industry and Commerce globally. In December 2010, we became a Virgin Fast Track 100 company for the second consecutive year (3rd Fastest Growing company 2009).