Associate / VP Level Quantitative Research - Counterparty Credit Risk

Anson McCade
25 Jul 2017
15 Aug 2017
Contract Type

Associate / VP Level Quantitative Research - Counterparty Credit Risk (CVA)

Job Summary:

My client has the need for an associate who is looking to take their next steps within a quantitative environment. The associated Counterparty Valuation Adjustment (CVA) is the valuation of the compensation required for taking on risk. Our client is an industry leader in counterparty risk measurement and management. This area has become a key focus for the financial industry in the wake of the financial crisis.

This group is responsible for developing as well as supporting models to measure the risk in the investment bank. It is also responsible for wider XVA modelling such as funding valuation adjustments (FVA) as well as credit risk capital. This is a highly complex cross asset class portfolio adjustment.

Core Responsibilities:

• Develop models and implement cross asset counterparty risk simulation models as well as enhance and maintain the existing library.

• Support XVA trading desk, credit risk organisation in pricing and risk managing credit risk.

• Work closely with research groups to onboard new products into the counterparty risk valuation and framework

• Liaise with technology teams in order to build out risk management systems and front end tools.

• Ensure clear documentation and testing of models and work closely with the model review group in order to facilitate model approvals.

• Liaise with Valuation Control and risk groups to understand limitations and risks in existing models and help in setting appropriate reserves and limits

Essential skills, experience, and qualifications:

• PhD or MS degree in Math, Math Finance, Physics, Computer Science, Engineering or similar.

• Deep understanding of probability theory, stochastic processes, PDEs, and numerical methods.

• Excellent analytical and problem solving abilities.

• Extensive C/C++ coding experience

• Excellent communication skills (written and verbal).

• Team work oriented.

Desirable skills/experience:

Experience in Counterparty Risk Modelling (CVA), funding valuation adjustment (FVA) or credit risk capital.