Snr Ccr Quant Analyst Vp, London, Paris

4 days ago


London, United Kingdom eFinancialCareers Full time

**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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