Senior Quantitative Analyst - Counterparty Credit Risk - Bank

SENIOR QUANTITATIVE ANALYST - COUNTERPARTY CREDIT RISK - INVESTMENT BANK

A leading investment bank are reviewing their counterparty credit risk models and have a fantastic opportunity for a Quantitative Analyst to review and validate quantitative risk models.

As a Quantitative Analyst you will be responsible for assessing the performance of trading book credit risk models, measuring the impact of capital requirements and to understand and manage model risk. This will include counterparty risk, market risk, margin models and add-on models, as well as economic capital.

You should apply for this role if you have:

- 5+ years quantitative analysis experience within leading financial services firms
- Model validation experience, preferably for counterparty credit risk
- Excellent understanding of stochastic calculus, econometrics and numerical analysis
- Excellent understanding of derivatives products across one or more asset classes
- Effective communication skills in verbal and written form
- MSc or PhD educated in a quantitative field required

This is a £700-£900/day contract based London initially for six months.