Quantitative Risk Analyst - London, United Kingdom,
A Leading Banking client are expanding their Quantitative Risk Management remit which covers model validation, model risk management and quantitative support of counterparty risk calculations for derivatives transactions. Due to the nature of the client, the successful Quant will have alot of exposure to all divisions within the Bank and various projects.
- Providing quantitative support to counterparty risk calculations including calibration of credit simulation models to historical data and pre-trade analysis of credit risk of derivatives transactions
- Documenting model validation and testing results
The Successful Quantitative Analyst will need the following expertise:
- MSc in a quantitative discipline preferably in Physics, Maths, Quant Finance or Engineering.
- Proven track record in Model validation, Model development and would be advantageous to have experience of Counterparty Risk analysis of derivatives transactions
- Familiarity with credit risk measures such as PFE, EPE, CVA
- Wide product knowledge across asset classes
- Strong knowledge of pricing and risk models including Monte-Carlo techniques
- Programming ability in C# or Python
If this is of interest to you please reply with your updated resume.
Huxley, a trading division of SThree Partnership LLP is acting as an Employment Business in relation to this vacancy | Registered office | 1st Floor, 75 King William Street, London, EC4N 7BE, United Kingdom | Partnership Number | OC387148 England and Wales