Counterparty Risk Analytics – VP recruitment
The Risk Analytics team provide quantitative analytical support to the product businesses and also runs IMM project which seeks delivery of robust Credit counterparty measurement framework. My client is looking for 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.
Responsibilities include:
- Develop/create models/spreadsheets/prototypes for simulation and exposure calculation
- Calculate Counterparty's 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 example optimizing code in libraries
Skills required:
- 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. FI, Equity, commodity, FX, Credit)
- Direct experience of Counterparty's risk calculations is preferred.
- Knowledge of UNIX programming languages (e.g. Java, C++, Matlab etc.) is preferred. Good spreadsheet skill is essential.
- PhD in a quantitative discipline (preferred) or Masters in a quantitative discipline or equivalent experience.
- 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.
If you would like to apply for this role or find out more, please apply online or contact Anna Purves at Robert Walters on anna.purves@robertwalters.com quoting the reference 1563910/APC
December 14, 2011
• Tags: Counterparty Risk Analytics, Information Technology careers in the UK, VP recruitment • Posted in: Financial