***Quantitative Counterparty Analytics*** recruitment
The team is responsible for point-in-time validations and annual reviews of credit models for internal risk management and regulatory capital.The team’s mandate covers EPE/PFE, monte carlo models, and potentially projects in the future will also cover PD, LGD, EAD, and Economic Capital models.Ideally you will have three years experience and both theoretical and practical knowledge of counterparty risk or market risk models (including financial instruments). Further experience of PD, LGD, EAD and EC models will also be viewed positively.R/SAS, Perl/Python/VBA, SQL or C++ will also be good but Read more […]