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CCR&XVA Quantitative Analyst

London, Greater London, United Kingdom, £ £ 632.50-802.00 Annual Annual, Contract


CCR&XVA Quantitative Analyst
Location - London
Daily rate - £632.50 - £802/day PAYE/Umbrella
Start date - ASAP
Contract - 6 Months

Our financial services client is currently seeking an experienced Quantitative Analyst to join their Team. This is a role responsible for identifying and investigating deficiencies in CCR&XVA models, then addressing them by developing enhanced methodologies and software/library components for a more accurate CCR&XVA risk measurement and management. Throughout the process, regular inter-action with key stakeholders is expected which add to the role the requirement for strong communication skills. The role is in the Global Risk Analytics (GRA) function. This area is responsible for the definition and development of risk measures, models, related policies, and strategy for managing risk. This includes the development, refinement, review and on-going validation of risk measures and models used within the client Group

Key Responsibilities:

  • To review and improve or re-build the existing suite of models and methodologies
  • To drive improvements to the systems and data infrastructure supporting deployment of CCR&XVA models
  • To coordinate projects aimed at aligning methodologies, governance and policies around the Group
  • Keep abreast of business (trading, structuring & credit risk manager) and regulatory requirements
  • Engage in industry discussions aimed at informing policy.
  • The development of new models to a tight timeframe with a potentially changing set of regulatory requirements.
  • Understand traded credit risk and quantify risks using advanced mathematical technics (Stochastic calculus) and programming languages (C++, QuiC, Java).
  • Forming a good understanding of the credit risk exposure taken within the organisation in order to guide the development of new or enhanced risk methodologies.
  • Being able to clearly explain model details to other areas of the bank in non-technical language, and assisting in the on-going usage of these models in a day-to-day risk management setting, e.g. helping to explain significant model value changes
  • Developing a clear understanding of regulatory expectations and requirements which can then be communicated internally and externally
  • Being able to lead and manage a project involving different stakeholders across several geographies

Key Requirements:

  • At least 4 years of experience in CCR/XVA Quantitative Analytics team. Having been personally involved in building simulation(Monte Carlo scenario generation) models and developing simulation solution in C++ libraries (Applies only to VP/GCB 4 and above applicants)
  • Ideally previously involved in successful regulatory submissions (Successful ECB submission is a plus). (Applies only to VP/GCB 4 and above applicants)
  • 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. (Applies only to VP/GCB 4 and above applicants)
  • Clear and demonstrable familiarity with key risk measures such as CVA, EPE, PFE. (Applies only to VP/GCB 4 and above applicants)
  • 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
  • Open personality and effective communication skills, ability and flexibility to work in an international team
  • Ability to write clear and understandable documents

If you think you are up for the task and feel you meet the above criteria or interested to hear more information please contact me on? /

Job Details

Not Specified
London, Greater London, United Kingdom
£ £ 632.50-802.00 Annual Annual