Counterparty Credit Risk Modelling

2 days ago


London, United Kingdom eFinancial Careers Full time

The role:

- Understand counterparty credit risk (CCR), and economic and market environment in which the Group operates
- Develop counterparty credit risk exposure measurement methodologies and risk assessment tools;
- Develop processes designed to monitor existing CCR model performance, analyse their output and prepare reports for stakeholders;
- Assist credit risk reporting functions in the development of effective reporting tools enabling responsive and proactive reviews of the trading book credit risk exposure.
- Masters or PHD in Financial Mathematics, Statistics, Science, or Engineering
- Quantitative work experience in a financial institution, preferably in derivatives area and understanding of counterparty credit risk modelling


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