Quantitative Risk Analyst - Counterparty Risk

VTB Capital
London, United Kingdom
Competitive Salary
May 02, 2021
Jun 15, 2021
Job Role
Risk Manager
Contract Type
Full Time
Level of qualification
CIMA, Newly qualified, Qualified

Principal Accountabilities

  • Serve as a key specialist for Counterparty Risk modelling including calibration of credit simulation models and pre-trade analysis of credit risk of derivative transactions;
  • Provide quantitative support for risk calculations in the Credit Risk system including analysis and testing of pricing and risk simulation models;
  • Perform product and market data analysis in Front Office and Risk systems to ensure the correctness of risk representation;
  • Validate models for derivative pricing and credit risk simulations and, in some cases, independent replicate the results;
  • Document model calibration, model validation and testing results;
  • Further develop in-house quant risk tools implemented in C#

Key Competencies & Qualifications

  • Higher quantitative degree, preferably in Physics, Maths, Quant Finance, or Engineering.
  • A proven track record in one or more of the following areas in an investment banking environment:
  • Counterparty Risk analysis of derivatives transactions
  • Model validation or model development
  • Market Risk of derivatives transactions
  • Strong knowledge of pricing and risk models including Monte-Carlo techniques;
  • Wide product knowledge across asset classes;
  • Familiarity with counterparty risk measures: PFE, EPE, CVA;
  • Solid quantitative skills and ability to carefully analyse numerical data at a detailed level;
  • Programming ability, preferably in C# - good to have;
  • Knowledge of Calypso and Adaptiv Credit Risk systems - useful, but not essential
  • Outgoing and engaging.

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