Description
A top leading investment bank is looking for a senior CCR Quantitative Analyst/developer to join their global risk analytics team.
Key responsibilities:
- identifying and investigating deficiencies in CCR & XVA models
- to review and improve or re-build the existing suite of models and methodologies
- addressing models by developing enhanced methodologies and library components for a more accurate CCR&XVA risk measurement and management.
- regular interaction with key stakeholders
Ideal Candidate:
- Extensive experience within CCR/XVA
- Strong experience in building simulation models (Monte Carlo scenario)
- Strong C++ programming (essential)
- Familiarity with risk measures such as CVA, EPE, PFE
- IMM (Internal Model Method) experience
If interested contact me or email me at (see below)