Snr Ccr Quant Analyst Vp, London, Paris
4 days ago
**CCR Modelling, Credit Risk, Cross-Asset Derivatives Pricing, C++**
**RESPONSIBILITIES**:
- Develop & implement Counterparty Credit Risk (CCR) models
- Implement new risk & regulatory related analytics
- Develop CCR exposure simulation methodologies and tools
- Develop tools to monitor CCR model performance for stakeholders (Trading, Sales, Structuring & Risk)
- Developing credit risk reporting tools for trading book credit risk exposure
**ESSENTIAL SKILLS**:
- Minimum 5+ years’ experience developing/validating CCR models
- Knowledge of CCR Exposure calculations EE, EPE, PFE, etc.
- Good knowledge of numerical methods, stochastic calculus, & probability theory
- Excellent programming in C++
- Able to communicate complex ideas in a clear manner
- PhD or Masters in a scientific discipline
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