Senior Quantitative Analyst – Counterparty Credit / Commodity Derivatives recruitment

Senior Quantitative Analyst - Counterparty Credit / Commodity Derivatives 

Large banking group with offices globally are focusing on developing a larger and more complex Counter-party credit and Credit Value Adjustments (CVA) engine and methodology to help fuel a wider range of trading activities in the Asia-Pac region.

The quantitative risk, modelling and methodology team requires two very strong and experienced quantitative analysts to work with the trading and risk teams to build new and sophisticated pricing and risk metric driven models. Both roles constitute a broad scope of work and responsibilities and so require quants who are able to think laterally as well as creatively.

The following responsibilities will form the crux of the positions:

- Counterparty Credit Risk - exposure measurement on commodity or interest rates derivatives transactions (trading book)

- Deal and Trade Approval analysis in conjunction with market risk 

- Methodology and calculation of credit, CVA or PFE on a wide range of vanilla and exotic derivative commodity products for un-collateralised and collateralised portfolios

- Calibration and implementation of models ranging from variations of Vasicek, OU, CIR to semi-parametric historic simulation models

Ideally, we are looking for experienced quants who have a history of working within the quantitative credit, market risk or front office function in banks, financial services companies, trading houses or group treasuries. You must be educated to the appropriate level (Scientifically focused degrees) or have many years experience working with counterparty credit risk based financial instruments and be an accomplished coder (or at least able to build simple pricing or scenario based models using C++ or Python). On top of this, your financial maths or computational statistics credentials must be impeccable.

Apply for this role ONLY IF YOU HAVE the relevant experience pertaining to the above specifications. Graduates and candidates outside of the quantitative industry should carefully consider their relevance to this role before applying.

For a confidential discussion, please contact Maria Skarveli at BlackOcean Recruitment at maria@blackoceanrecruitment.com or +61 2 9230 0473