Quantitative Risk Analyst, CVA/Credit Exposure recruitment
The team covers model validation, assessing the impact of models upon valuation, market and credit risks.
In essence the role will involve validation of models to identify those that are mis-specified or not applicable to a given product/market, additionally identifying mathematically flawed models and proposing solutions.
This is a highly interactive role, supporting fellow team members in their projects/tests whilst collaborating with front office quants and model owners.
Candidates will need a strong background in financial mathematics, typically educated to Masters degree level in a quantitative discipline and at least 3 years experience in an Interest rate modelling environment, of which there must be some exposure to CVA and credit exposure.
Familiarity with C++, Java or Visual Basic a must have.