Snr Ccr Quant Analyst Vp, London, Paris - eFinancialCareers

eFinancialCareers
eFinancialCareers
Verified Company
London, United Kingdom

3 weeks ago

Tom O´Connor

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Tom O´Connor

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Description

CCR Modelling, Credit Risk, Cross-Asset Derivatives Pricing, C++

RESPONSIBILITIES:


  • Develop & implement Counterparty Credit Risk (CCR) models
  • Implement new risk & regulatory related analytics
  • Develop CCR exposure simulation methodologies and tools
  • Develop tools to monitor CCR model performance for stakeholders (Trading, Sales, Structuring & Risk)
  • Developing credit risk reporting tools for trading book credit risk exposure

ESSENTIAL SKILLS:


  • Minimum 5+ years' experience developing/validating CCR models
  • Knowledge of CCR Exposure calculations EE, EPE, PFE, etc.
  • Good knowledge of numerical methods, stochastic calculus, & probability theory
  • Excellent programming in C++
  • Able to communicate complex ideas in a clear manner
  • PhD or Masters in a scientific discipline
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