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.
- 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.
- 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.