CDS Credit Quantitative BA

  • Location

    London, England

  • Sector:

    Banking & Financial Services

  • Job type:

    Temporary

  • Salary:

    Negotiable

  • Contact:

    Phoebe Cheung

  • Contact email:

    phoebecheung@taylorroot.com

  • Job ref:

    PCH - Risk_1550048088

  • Published:

    5 months ago

  • Expiry date:

    2019-03-04

  • Consultant:

    #

My client, a top tier financial institution is looking for a CDS Credit Quant Analyst to join their team based in London who can also face off to the business side and work as a Quantitative Business Analyst.

Responsibilities:

  • Development and implementation of risk model changes to accommodate for new products. CDS risk model framework covers mainly market risk on all risk factors of the European and American / index and single name CDS products as well as Credit Index Options, from usual price moves to jump to default risk and liquidity issues.
  • Enhancing the existing risk model; recommend methodology changes based on quantitative analysis; write business requirements and design corresponding unit test cases for the risk changes; and provide general support to the test team for risk related issues.
  • Risk model methodology changes
  • Propose innovative and workable solutions to cover against market risk and product specific risks.
  • Develop quickly and reliably prototypes to assess the behaviour of a new methodology on a
  • range of sample portfolios and recommend changes.
  • Present and document the recommended changes in methodology in a clear and concise manner.
  • Risk model changes IT implementation
  • Write business requirement documents which specify the changes to be brought to the risk calculations, accompanied by a suite of relevant test cases.
  • Liaise with the other teams to explain the margin changes and help them investigate suspicious end to end test results.
  • Analyse risk measures on portfolios to explain the risk profile / variations of risk profile of portfolios on an ad-hoc basis.

Requirements:

  • Master's degree (or equivalent) of a computer science or mathematical bias;
  • Experience in a risk management environment within an investment bank or similar;
  • Advanced Excel user / VBA Macros, good knowledge of R;
  • Exposure to object programming such a C++ or Java would be appreciated;
  • Knowledge of financial products pricing (knowledge of CDS would be appreciated);
  • Excellent analytical, numerical and problem solving skills, with good attention to details;
  • Good communication skills, both oral and written;
  • Proactivity;
  • Ability to work alone or as part of a team.

Please sent your CV to phoebecheung@taylorroot.com

Please note our advertisements use PQE/salary levels purely as a guide. However we are happy to consider applications from all candidates who are able to demonstrate the skills necessary to fulfil the role.