Description
Contract
Counterparty Credit Risk Management (CVA/VaR) - Brussels - Leading French Investment Bank
My client is a Leading French Investment Bank who is looking to add an experienced Counterparty Credit Risk Manager to their team in Brussels.
The candidate will have experience in Counterparty Credit Risk Management and Modelling and will have experience in:
- CCR back-testing
- CCR model calibration
- Stressed effective EPE
- Regulatory CVA Stressed VaR stress period
- VaR for CRD perimeter
- Generic curves
- Capture of rating migration in specific risk
- CVA VaR and stressed VaR
- Risky collateral modelling
- Increased margin period of risk
- Specific wrong way risk.
Counterparty Credit Risk Management (CVA//VaR) - Brussels - Leading French Investment Bank
- Will have good experienced in Counterparty Credit Risk Management and Modelling
- Will have experience working in the financial services
- Will be English speaking
- Will understand CVA and VaR
Key Words: Counterparty, Credit Risk, Brussels, CVA, VaR, CCR
Start date: ASAP
Location: Brussels, Belgium
Rate: Negotiable
Contract length: 4 months +
Skills: Counterparty Credit Risk, CCR, back testing, VaR, CRD, modelling
Contact: Frank Stephenson