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    Snr XVA - London, United Kingdom - Millar Associates

    Millar Associates
    Millar Associates London, United Kingdom

    5 days ago

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    Description

    Snr XVA-CCR Quant Analyst (VP), London

    London Ref: CCR-1811 Total to £240k + Benefits + Hybrid working Top-tier Investment Bank XVA, CCR Modelling, Flow Credit Pricing, SIMM, C++, Pythoin

    This global Investment Bank operates across the world's most dynamic markets and has a great reputation both as a caring employer and for its state-of-the-art technology. It is now seeking to hire a Senior Quant Analyst for the development of Counterpart Credit Risk (CCR) Models based in its London, Paris or Singapore hubs.

    The team is responsible for a new Cross-asset derivatives & Capital models library which is the core engine of the trading & risk management platform. You will work with highly talented Quants and gain deep exposure to the asset class in a friendly and collaborative environment.

    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 3-6 years' experience developing/validating, XVA / CCR models
  • Knowledge of CCR / ECL Exposure calculations
  • 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
  • Millar Associates

    Snr XVA Quant Analyst

    5 days ago

    Millar Associates London, United Kingdom

    Snr XVA Quant Analyst (VP), London · London Ref: SQAX-2507 Up to £240k Total + Benefits Leading Investment Bank Front Office XVA Quant Analytics, Cross Asset, Global Libraries, C# or C++ This leading Investment Bank seeks to hire an experienced Quant Analyst (VP) to join their ...