Credit Risk – Quantitative Business Analyst recruitment
Business Analyst, Credit Risk, Quantitative, Monte Carlo Simulations, Derivatives, Trading Book, Business process analysis, Investment Banking, London
Senior Business Analyst, required for business critical Credit risk, Monte Carlo project. A major investment bank is currently undertaking a migration programme of OTC Derivative products onto a new Monte Carlo engine. The new platform will improve the accuracy and timeliness of counterparty exposure risk calculation, and lead to increased efficiency within regulatory capital. The programme encompasses a number of project streams and is responsible for bringing all asset classes into a central model method.
This particular role is for an experienced Business Analyst to work on a project focused on improving the current Credit Risk Monte Carlo framework for a number of products, primarily Interest Rates and FX. All suggested and implemented improvements to the model will require regulatory approval.
Business Analysts are expected to work closely with the adjoining methodology team, IT team, exposure managers, data providers and Regulatory Reporting teams.
The role is ideal for a Business Analyst experienced in delivering derivatives risk projects (Market or Credit risk) within major investment banks. The successful candidate will be expected to capture business requirements, undertake model analysis, assess data and end user requirements, produce functional specifications and test plans and liaise accordingly with Risk IT.
A strong understanding of credit risk management processes alongside OTC Derivatives is essential. Applicants should also be experienced in Monte Carlo modelling and processes, as well as testing tools and FSA regulatory capital modelling requirements.