Quantitative Finance Analyst - Counterparty Credit, VP - Bromley, Kent, United Kingdom, BR1 1

£100-125k

  • Development, testing, documentation and maintenance of counterparty credit risk models. These will include risk factor simulation models, pricing models, aggregation models as well as backtesting methodology.
  • The existing model framework is used at an enterprise level for IMM calculation, and much of the work will be in making appropriate adaptations to meet local regulatory requirements and expectations, and defending the models and approach to the PRA.
  • The role will also require support of the counterparty credit risk platform, including investigation and resolution of model-related system issues and providing practical quantitative support to model users.
  • You will be involved in making improvements to model development infrastructure, such as test harnesses, support utilities and visualization tools, so as to increase the overall efficiency and utility of the team's output.
  • Master's degree or higher in Mathematics, Statistics, Physics or a related field and experience working in quantitative modelling on fixed income or commodity products on behalf of a global financial institution.
  • Experience with mathematically sophisticated financial modelling, preferably in counterparty credit risk or XVA.
  • Ability to express technical concepts clearly in written and spoken English.
  • Programming skills: key languages are C++ and Python; a solid understanding of sound software development principles.
  • Up-to-date knowledge of industry trends and developments, a commercial instinct, and an understanding of sound risk management principles.
  • Good written and oral communication, interpersonal and organizational skills and ability to build and maintain relationships with personnel across areas and regions.
  • Ability to multitask with excellent time management skills.
  • Sense of focus and rigor in the completion of deliverables.
  • Experience in regulatory interaction, ideally with the PRA.