CCAR Quant - VP level

Anson McCade
London, United Kingdom
perfomance based bonus
May 08, 2022
Jun 07, 2022
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
CCAR Quant - AVP/VP level

London based

This team is looking for a Quantitative Analyst to join the front office Risk Appetite Quant team, and support the trading and XVA desks in managing and optimizing their risk appetite.

  • Understand current methodologies (including Stress Scenarios, CCAR, RWA, ...), models and processes existing on the Risk side.
  • Understand the data and time series involved.
  • Partner with the business and other quant teams to propose and drive any relevant improvements to the current methodologies.
  • Partner with the traders to help on prioritization, guidance and direction.
  • Build tools to replicate or estimate some of the current calculations.
  • Strengthen the processes used for calculating any relevant add on by building analytics and/or liaising with specific asset class quant teams in order to enhance existing pricing models.
  • Development and maintenance of in-house python and C++ analytics libraries.

  • Experience in an analytics role including in Market Risk, working closely on CCAR and Scenario design for either trading or XVA.
  • Must have technical/programming skills with exposure to Market Data; Statistics and Probability based calculations.
  • Hands on.
  • Must also possess any level of product knowledge, Investments and Quantitative Methods.
  • Consistently demonstrates clear and concise written and verbal communication skills.
  • PhD, Master's degree.

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