Counterparty Risk Quant, VP recruitment

Tier one investment banks seeks VP level Quant Analyst as part of its Counterparty Risk Analytics team.

Main Responsibilities:

* Review and validation of Monte Carlo simulation-based Counterparty Risk Measurement models involving the review of pricing functions, credit exposure measures (EPE, PFE) and back-testing of stochastic processes across all asset classes
* Development of independent pricing and stochastic models for comparison with those under review
* Back-testing of models to evaluate and compare their performance with historical simulations
* Working closely with Credit Analytics to extend and improve coverage of Monte Carlo simulation-based Counterparty Risk Measurement framework
* Set up and maintain ongoing control processes to ensure that previously approved models continue to behave as expected.
* Taking active role in ongoing improvement of validation standards and methodologies including development of improved validation/back-testing techniques
* Ensuring that validation methodologies and standards are aligned with the Basel II requirements and industry standards

Experience in a similar quantitative validation function, quantitative market risk or Front Office pricing model development role are a must. This could have been obtained through a combination of experience in the finance industry or in business consultancy work. Exceptional candidates with a very strong academic background with less practical experience will be considered as well.

* Derivative product knowledge across all asset classes.
Excellent quantitative analytical skills, notably in financial mathematics and derivative pricing, stochastic processes and Monte Carlo simulations.
* Demonstrated ability to work in a team environment and to interact and communicate effectively with other teams.
* Results orientated with ability to deliver practical solutions in a demanding high pressure environment.

Qualifications:
* Exceptional educational background in mathematical finance, mathematical statistics, econometrics or other quantitative discipline ideally to MSc or PhD level.
* Solid programming skills in VBA and CC++/C#.
* Sound expertise with MATLAB or other numerical computing software preferred

Please submit your CV to ariedl@morganmckinley.co.uk or call Aled Riedl on 0207 092 0103