Quantitative Risk Analyst – Counterparty Risk recruitment
As a result of an internal secondment, a counterparty credit risk quantitative analyst contract role has recently opened up within the team.
Key responsibilities include:
- Development and support of trading related capital calculations and valuation adjustments, including:
- Enhancement of counterparty credit risk measurement monitoring techniques and tools with a focus on regulatory and economic charges resulting from recent reforms such as Basel III;
- Troubleshooting, process improvement and prototype implementation of counterparty risk input into front office pricing processes; - Liaising with the counterparty credit replacement project team to future proof what is delivered.
You will possess:
- At least 5 years of quantitative risk experience working in a credit or market risk environment
- Strong mathematical skills, along with MS Excel, Access VBA
- Good knowledge of C++, SQL
- Familiarity with financial markets products
- Familiarity with the Algorithmics RiskWatch an advantage but not a requirement
Depending on both the performance of the candidate and business developments, there is the potential for the role to transfer into the front office environment and lead the integration of the counterparty credit risk capital into front office pricing.
If you are interested in discussing this opportunity further, please email your CV to alan.a@ethoscorp.com.au or contact me directly on 02 8227 9200.
February 5, 2012
• Tags: Quantitative Risk Analyst – Counterparty Risk recruitment, Risk Management careers in the Australia • Posted in: Financial