Counterparty Credit Risk Quant recruitment
Our client seeks a risk quant to model, quantify and explain derivatives' counterparty exposure to help the decision-making processes of risk management business. The role will also involve developing analytical models / tools needed for derivatives' exposure calculation and counterparty credit risk system related projects. In addition, risk quant will be involved in stress testing, back testing and wrong way risk calculation.
Key Roles Responsibilities:
Develop risk factor simulation models
Calculate Counterparty Exposure on derivative products across all markets/asset classes
Discuss complex structured transactions with business (structurers/traders) and risk managers
Advise on credit risk mitigation and explain counterparty risks to sales, trading credit risk management
Participate in further development of Counterparty Analytics tools infrastructure
Work on ancillary / adhoc projects to further global systematic calculations of derivatives' counterparty risk risk management process
Development Value:
Gain extensive product/structure knowledge across all asset classes.
Risk management expertise
Interaction with all businesses across the bank
Global market knowledge
Qualifications Skills:
Proven experience in a quantitative role in financial/consulting services with good understanding of derivatives' modeling/pricing
Product knowledge of a wide range of derivative structures of different asset classes (e.g. FI, Equity, commodity, FX, Credit)
Direct experience of counterparty risk calculations is preferred.
Knowledge of market credit risk management techniques/frameworks are desirable
Knowledge of unix programming languages (e.g. Java, C++, Matlab etc.) is preferred. Good spreadsheet skill is essential.
Qualifications:
PhD in a quantitative discipline (preferred) or Masters in a quantitative discipline. Exceptional candidates without above qualifications may be considered for the role provided they have the necessary skills and experience. Competencies:
Good communication skill is essential as the position requires quantifying risks and explaining them in a quick decision making environment.
Ability to lead discussions on structured products' credit exposure/credit risk confidently with a range of people (from desk quants to credit officers).
Eagerness ability to grasp the complexity of structured derivatives quickly.
Valuing Diversity:
Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organizational success.
To apply for this role please forward your CV to James Hurst, jamesh@mccabebarton.com, or feel free to call me to discuss the role in more detail on 0207 796 3218.