Quantitative Risk Analyst - Counterparty Risk Quantitative Risk Analyst - Counterparty Risk …

VTB Capital
in London, Vereinigtes Königreich
Festanstellung, Vollzeit
Letzte Bewerbung, 30 Jul 21
competitive
VTB Capital
in London, Vereinigtes Königreich
Festanstellung, Vollzeit
Letzte Bewerbung, 30 Jul 21
competitive
VTB Capital
The role involves working within the Quantitative Risk Management in the areas of counterparty risk modelling, model validation and model risk management related to derivative transactions. The new hire will play a key role in the global counterparty risk modelling activity across VTB Group by providing quantitative support for the Counterparty Risk system, performing analysis and calibration of counterparty risk models and credit analysis of derivative transactions. Being a part of a small group the new hire will have an opportunity to contribute to various areas of Quantitative Risk function by providing quantitative expertise to the ongoing activities.

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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