- This is a role responsible for identifying and investigating deficiencies in CCR&XVA models, then addressing them by developing enhanced methodologies and software/library components for a more accurate CCR&XVA risk measurement and management. Throughout the process, regular interaction with key stakeholders is expected which add to the role the requirement for strong communication skills. The core objectives are
- to review and improve or re-build the existing suite of models and methodologies,
- to drive improvements to the systems and data infrastructure supporting deployment of CCR&XVA models, and
- to coordinate projects aimed at aligning methodologies, governance and policies around the Group, and
- keep abreast of business (trading, structuring & credit risk manager) and regulatory requirements, and
- engage in industry discussions aimed at informing policy.
- Strong experience in CCR/XVA Quantitative Analytics team. Having been personally involved in building simulation (Monte Carlo scenario generation) models and developing simulation solution in C++ libraries
- Ideally previously involved in successful regulatory submissions (Successful ECB submission is a plus).
- Ability to lead, manage and successfully deliver projects within the agreed time scale, in liaison with all relevant stakeholders: model owners, credit, business, IT, senior management and regulators.
- Clear and demonstrable familiarity with key risk measures such as CVA, EPE, PFE.
- Minimum Masters level in Math/Computer Science/Engineering discipline
- Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation technics
- Ability to break methodology design in atomic testable blocks that can be implemented in automated testing suite
- Ability to construct automated testing suite around BAU work to avoid redundancy and repetition in daily routine
- Expert C++ developer not afraid to learn other languages (passionate about profiling, refactoring and optimising messy code) and with Test Driven Development approach
- Open personality and effective communication skills, ability and flexibility to work in an international team
- Ability to write clear and understandable documents
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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.