Derivative Counterparty Risk Management (VP)

My client has a vacancy for a Counterparty Quantitative Analyst in the London office; the principal requirements and responsibilities of the role are set out below.

Role / Principal Accountabilities:

* Research and development of new credit exposure analytics.
* Business analysis and development of modelling prototypes..
* Provision of quantitative support to the trading desks for pre-deal portfolio risk and CVA analysis
* Quantitative analysis required to meet Basel 2/3 modelling standards, including backtesting and stress-testing of EPE.

Qualifications Required

PhD/Masters in finance or a quantitative discipline from a Top University.

Skills & Experience Required:

* Knowledge of the financial markets and derivatives pricing techniques and models.
* Strong analytical and problem solving skills.
* Proactive & team oriented.
* Good written and verbal communication skills.

Desirable

* Experience in credit exposure modelling techniques & their application to risk manage the business.
* Experience in model prototyping in C++, Excel, VBA or similar.
* Knowledge of derivatives products and modelling techniques.
* Knowledge of Basel IMM regulatory requirements.To find out more about Huxley Associates please visit www.huxley.com