Job Details

CCR&XVA Quantitative Analyst

London, Greater London, United Kingdom, £575 - £632 , Contract

Posted: 11 hours ago


Counterpart Credit Risk Analyst (CCR & XVA)

6 Months

London - remote to begin with

Daily Rate Up to £632 - Umbrella

My financial services client is seeking an experienced Quantitative Analyst to join their team. The successful candidate will have a strong background working with CCR & XVA models and be able to investigate and improve upon them where necessary.

Essential Skills / Experience Required

* At least 4 years of experience in CCR/XVA Quantitative Analytics team. Having been personally involved in building simulation models and developing simulation solution in C++ libraries.
* Ideally previously involved in successful regulatory submissions.
* Ability to lead, manage and successfully deliver projects within the agreed time scale, in liaison with all relevant stakeholders: model owners, credit, business, IT, senior management and regulators.
* Clear and demonstrable familiarity with key risk measures such as CVA, EPE, PFE.
* Minimum Masters level in Math/Computer Science/Engineering discipline
* Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation technics


* Ability to break methodology design in atomic testable blocks that can be implemented in automated testing suite
* Ability to construct automated testing suite around BAU work to avoid redundancy and repetition in daily routine
* Expert C++ developer not afraid to learn other languages (passionate about profiling, refactoring and optimising messy code) and with Test Driven Development approach

Please submit your CV in the first instance

Job Details

London, Greater London, United Kingdom
£575 - £632