QUANTITATIVE EXPOSURE MODELLING: Adaptiv Project – Contractor – • Experience of the PFE modelling of collateral, FX, Inflation, Credit Derivatives recruitment
My client is a top tier bank in the city offering the opportunity for a contractor- QUANTITATIVE EXPOSURE MODELLING: Adaptiv Project - Contractor
The role sits in Corporate Markets Risk within Wholesale Risk that spans Commercial Banking, Corporate Banking, Treasury Trading and Wholesale Markets. The Corporate Markets Risk Infrastructure team is tasked with developing and managing an optimised Corporate Markets-wide risk platform with integrated MI functionality and appropriate control workflows to enable effective risk management.
To support the development and implementation of Phase 2 of the Strategic Credit Risk Management platform the existing project team is to be expanded with contractor resource to support the existing permanent headcount resource.
Role Description
The key responsibilities of are:
- The design, development and validation of counterparty exposure (PFE) models, including the research and design of methodology, and when necessary, the construction of the models in C++/VBA, and writing clear and comprehensive documentation.
- The ability to present results verbally to an audience of varying technical abilities.
- Support Senior Manager in delivering project milestones.
- Participate in QEM team meetings and ensuring that there is a clear channel for knowledge transfer to permanent members of the team.
Essential skills, qualifications and experience
- A higher qualification in a quantitative discipline such as Mathematics, Physics or Finance with a detailed knowledge of the mathematics of pricing and risk models.
- Strong programming skills, in particular C++ and VBA.
- A minimum of 3 years and ideally 5 years of Finance/Banking experience which includes experience of building complex derivatives pricing models and/or counterparty exposure measurement.
- Experience of the PFE modelling of collateral, FX, Inflation, Credit Derivatives and Commodities would be advantageous.