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My client seeks a Quantitative Analyst to manage the Model Risk across the lifecycle of the Counterparty Credit Risk Model. You will be responsible for conducting Validations to identify model limitations, providing effective challenges to model assumptions, mathematical formulation and model performance and represent the Bank to Senior Regulators.
You possess strong CCR Methodology Process knowledge and fantastic communication skills. In addition understanding of Basel supervisory guidance on IMM (Internal Model Method) and requirements from local regulators. Understanding of the industry practice in counterparty credit risk and market risk management.
You possess a PhD in a quantitative field (e.g. Mathematics, Physics, Statistics, Economics, Engineering) with strong applied mathematical and computer skills. combined with excellent writing skills and programming expertise in either of the following languages C++, Perl, Shell, VBA, SAS, Matlab.
To apply for this excellent opportunity, please reply back with your most upto date CV.