Counterparty Risk Analytics recruitment
Key Responsibilities:
- Develop/create models/spreadsheets/prototype for simulation and exposure calculation
- 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 calculation of derivatives' counterparty risk risk management process
Knowledge/Experience:
- Proven experience in a quantitative role in financial/consulting services with good understanding of derivatives' modelling/pricing
- Product knowledge of a wide range of derivative structures of different asset classes (e.g. Fl, 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.