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My client, a top tier investment bank is looking for a Counterparty Credit Risk Quantitative Analyst to join their team based in London. The Credit Risk Methodology Group is responsible for development of credit models for exposure calculations, credit capital calculations and credit risk rating models for risk managements.
Developing and reviewing exposure methodologies, implementation of exposure models
Liaising with model developers on the enhancement of exposure methodologies
Enhancing various Risk frameworks; Backtesting, RNIMM etc
Co-ordinating regulatory responses with respect to the IMM methodology
Supporting annual model validation of the exposure models
Good experience in Counterparty Credit Risk Model development
Good experience in initial margin calculations
Up to date working knowledge of the regulatory requirements and change, specifically those emanating from Basel and EU regulatory authorities including PRA and ECB
Experience with other programming languages (preferable Python)
Strong analytical skills and experience with Monte Carlo simulation and numerical analysis
Experience in a quantitative group at a commercial, investment bank or a consulting firm
MSc or PHD, or equivalent in highly quantitative subject such as maths, physics, finance or engineering
Good communication, written, presentation skills
Please send your CV to firstname.lastname@example.org