Skip to main content

This job has expired

You will need to login before you can apply for a job.

Snr CCR Quant Analyst (VP), London, Paris & Dubai

Millar Associates
London, United Kingdom
Total to £250k + Benefits
Closing date
Apr 12, 2023

View more

Job Function
Industry Sector
Finance - General
Employment Type
Full Time
CCR Modelling, Credit Risk, Cross-Asset Derivatives Pricing, C++

  • Develop & implement Counterparty Credit Risk (CCR) models
  • Implement new risk & regulatory related analytics
  • Develop CCR exposure simulation methodologies and tools
  • Develop tools to monitor CCR model performance for stakeholders (Trading, Sales, Structuring & Risk)
  • Developing credit risk reporting tools for trading book credit risk exposure

  • Minimum 5+ years' experience developing/validating CCR models
  • Knowledge of CCR Exposure calculations EE, EPE, PFE, etc.
  • Good knowledge of numerical methods, stochastic calculus, & probability theory
  • Excellent programming in C++
  • Able to communicate complex ideas in a clear manner
  • PhD or Masters in a scientific discipline

Sign in to create job alerts

Sign in or create an account to start creating job alerts and receive personalised job recommendations straight to your inbox.

Create alert