Counterparty Quant Analyst – Cross-Asset recruitment
The team primarily supports Sales, Structuring and Trading by advising on pre-deal credit exposure (PFE and EE) for FX, FXO, IRD, ED, Credit Derivatives, Fixed Income and Commodities trades. You will work to enable traders to price in the credit on potential deals check that they are not going to be in breach of credit limits. This is an exciting opportunity to join an organisation which needs quants that have strong communication skills and are keen to work in a truly international bank.
Responsibilities include:
• Advise on Pre Post Deal pre-settlement counterparty exposure for trade requests from the dealing rooms active during UK time zone.
• Advise on credit-exposure related issues to the Front Office risk sensitivity/risk profiling/ risk mitigants/ risk quantification methodologies.
• Help develop exposure capture processes / methodologies for new business streams.
• Advise on haircuts / initial margins for financing or margined funds trades in accordance to Credit Policies.
• Help maintain update static data framework used to generate PFE for the in-house risk system.
• Assist in team effort to ensure all miss-valued missing trades are adequately valued.
• In addition there are IMM governance responsibilities relating to Stress testing, Wrong-way risk and Backtesting, Collateral modelling – candidate will need to be involved in one of these governance/development streams.
Skills required:
• Understand products traded credit risk implications
• Understand needs of different client/counterparty types and the nature of their business
• Understand documentation and use as risk mitigants
• Understand methodologies used in exposure calculation
• Appreciation for Credit Exposure calculation results on CVA, RWA, EL
• Ability to discuss risk results with Sales, Structuring and TCRM (Credit Risk)