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Counterparty Risk Quant Analyst - Investment Bank - London

Job Title: Counterparty Risk Quant Analyst - Investment Bank - London
Contract Type: Permanent
Location: London, England
Industry: financial services
Salary: £55000 - £65000 per annum
REF: BBBH20070_1542192203
Contact Name: George Marks
Job Published: 27 days ago

Job Description

A leading Investment Bank is looking for a Quantitative Analyst to work within the Risk Analytics Division. The team is responsible for the PFE models used to measure the Counterparty Exposure.

Responsibilities

  • Assist with risk model development and maintenance
  • Design and run model validation tests, for both model assumptions and implementation.
  • Develop, maintain and improve counterparty credit risk exposure simulation models.
  • Specify and test system changes to implement improvements
  • Support business and credit department requests in investigations into exposure calculations for specific trades
  • Prepare summary reporting for working groups and committees.

Skills

  • Solid quantitative skills (maths/statistics, quantitative finance MSc level or above)
  • 1-2 year experience within a Quantitative Risk related role and exposure to pricing derivatives or Market Risk ideally.
  • Knowledge and experience of VBA/Python preferable but we will consider C++, R, Matlab or any other advanced programming languages.