Job Vacancy Details
Quant Analyst, Counterparty Credit Risk
Quant Analyst Counterparty Credit Risk
London
Permanent
Updated August 16, 2008
Quant Analyst, Counterparty Credit Risk. This is a business facing role to provide quantitative analysis to the Counterparty credit risk exposure analysis group and to support Front Office structuring to optimize trading and provide calculations to measure counterparty credit exposure. There is an intention to set up an internal Credit Risk trading desk where the successful candidates will also become attached.
• Specify counterparty exposure methodology for all traded products for implementation in a new Credit System covering a range of markets, e.g interest rates, FX, credit and to a lesser extent equity and commodities.
• Calculate exposure profiles for complex/exotic transactions.
• Assess strengths and weaknesses of vendor credit system from a methodology and credit risk quantification standpoint.
• Write the code of a Monte-Carlo simulation engine.
• Analyse historical market data in order to set risk model parameters such as volatility and drift.
Who we're looking for
My client is looking got the right person to bring strong quantitative modelling skills above and beyond specific counterparty credit risk experience.
• PhD or equivalent
• Strong, proven modelling skills
• Excellent analysis skills;exposure to complex objects
About our client
Our client is a city based Asset Manager attached to a global bank.
What's on offer
Generous package on offer.
Michael Page Contact
For further info, apply or phone on 020 7645 1423.
Job Ref: 12992859
Your application will be sent to Richard Tricker.
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