Description
Quantitative Analyst, Credit Analytics, RWA Capital
Tier One Investment Bank is looking to appoint a Quantitative Analyst, in their Credit Analytics team of the Credit Risk Management IBCM CRO department. The contractor will be working on a crucial project around the development of an IMM fallback exposure calculator. The project is highly important from RWA and capital point of view.
Key ResponsibilitiesThis is an opportunity to work for the team responsible for developing and maintaining the Monte Carlo models used by Credit Suisse for the calculation of CVA and Default risk capital, as well as for the monitoring of counterparty exposure against the bank's limits.
A challenging role that includes
- Developing, implementing and maintaining the key methodology BoW items, especially focusing on the IMM strategic fallback calculator project
- Supporting different phases of the IMM strategic fallback calculator project- implementation testing, audit review, impact analysis and regulatory review requirements
Essentials Skills and Qualifications:- University degree in Physics, Engineering, Quantitative Finance or similar
- Knowledge and experience with Counterparty Credit Risk
- Strong SQL & Excel skills
- Understanding of financial products
- Strong analytical and problem solving skill
- Willingness to learn, ability to pick up concept quickly
- Highly committed and strong team player competences
If you wish to apply for the above position, please call me or email.
Please be advised if you haven't heard from us within 24 hours then unfortunately your application has not been successful on this occasion, we may however keep your details on file for any suitable future vacancies and contact you accordingly.
Pontoon is a global HR outsourcing company specializing in improving an organization's talent. We manage the contingent workforce and statement of work resources on behalf of our clients, as well as source and recruit direct hires. Pontoon's approach results in significant cost savings and revenue improvement, increased worker quality, workforce insight and greater regulatory compliance. A division of Adecco with operations in nearly 100 countries and with more than 1,500 colleagues worldwide, the Jacksonville, Florida-based organization delivers solutions to more than 150 industry-leading companies.