Counterparty Exposure Risk Modelling recruitment
Counterparty Exposure Risk Modeling
£100,000 + bonus + benefits
City of London
Company:
A top-tier company is seeking an experienced counterparty risk modeler. This is an opportunity for an extremely quantitative individual to join a respected team that oversees the policy, models, methodology, regulatory reporting and systems for counterparty risk
The role:
- Calculating counterparty exposure (PFE, EPE, CVA) across asset classes
- Developing models necessary to define exposure calculation for trades
- Interaction with internal departments and the review of CVA models.
- Ensuring existing models are appropriate to counterparty risk
- Extensive use of monte carlo simulations.
- Additional model development relating to Basel III
- Interaction with senior management and quants and continued development of the counterparty risk infrastructure and engine.
- Ability to communicate complex methodologies and data on a daily basis to quants, traders, senior management etc
Who they are looking for:
- Numerical M.Sc. / PhD
- Minimum 5 years quantitative role with exposure to derivatives modeling and pricing
- Advanced Monte Carlo Simulations skills
- Can programme in VBA/C++/Matlab
- Must be a very strong communicator, able to express complex ideas articulately, to discuss credit exposure/credit risk to a wide range of people, including quants, traders and senior management.
