Top British Investment Banks seeks CVA/PFE Quant – UK Office recruitment
These candidates must have sound knowledge of regulatory requirements (Basel ||/III). Methodologies AND model implementation knowledge is crucial. Due to the internal exposure of this role, the ideal candidate must have the ability to liaise with the Front Office and to turn qualitative and quantitative data into code.
The Role
- Counterparty Credit Risk, CVA/PFE modelling
- Creation of product pricing models to be used in the risk engine
- Creation of market factor simulation models to be used in the risk engine
- Creation of model validation tests to be applied to developed models
- Put models through the approval process by the CCR Methodology
- Ongoing review and maintenance of models to ensure existing models remain appropriate
Ideal Candidate
- Strong Postgraduate degree in Quantitative fields
- At least 3-5 years experience in a Risk modelling role
- Basel II/III regulatory knowledge
- Counterparty risk and risk systems
- Experience of pricing model definition and validation
- Experience of risk factor simulation model definition and validation
- Good project management experience
May 12, 2012
• Tags: PFE Quant, Risk Management careers in the UK, Top British Investment Banks seeks CVA, UK office recruitment • Posted in: Financial