Identifying and investigating deficiencies in CCR & XVA models
Addressing issues by developing enhanced methodologies and software/library components for a more accurate CCR & XVA risk measurement and management.
Review, improve or re-build the existing suite of models and methodologies
Drive improvements to the systems and data infrastructure supporting deployment of CCR & XVA models
Coordinate projects aimed at aligning methodologies, governance and policies
Working with extensively with stakeholders i.e. traded credit risk management, XVA business areas, structuring, trading, sales, regulatory finance, product control etc
Engaging in industry discussions to inform policies
To be successful in this role you will ideally have sound experience working in a counterparty credit risk / XVA Quantitative Analytics team and exposure to building simulation (Monte Carlo scenario generation) models and developing with C++.
In return you will receive up to circa £135k base plus full benefits package.
Internal Number: 5490356
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