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This is a quantitative role which focuses on the modelling of counterparty credit risk exposure and working with IT to implement exposure methodology in the counterparty credit risk measurement & monitoring system. This role will work closely with front office to advise credit risk on a transactional basis for complex/structured products will also perform product risk assessment as part of the new product approval process. This role is part of the Counterparty Credit Risk team which is responsible for modelling, measurement & management of counterparty credit risk for the entire Group.
Develop & enhance simulation-based counterparty credit risk models for calculating Potential Future Exposure (PFE) for derivatives portfolio covering:
Perform product risk assessment for new derivative/structured product approval
Advising the front office on the credit risk for new complex derivative transactions on a time-critical basis
Maintain & enhance risk-based pricing calculator for OTC derivative transactions
Liaise with IT & external vendor to implement risk methodology in counterparty credit risk measurement & monitoring system
Oversee and drive oversight and delivery of projects
Masters or PhD in a quantitative field (e.g. Quantitative Finance, Financial Engineering, Mathematics, Physics)
Experience with quantitative model development/validation for counterparty risk, market risk or derivative pricing
Good knowledge of traded products and thorough understanding of quantitative concepts relating to counterparty credit exposure, historical real-world calibration, Monte Carlo simulation & derivative pricing
Familiarity with Basel regulatory requirements (e.g. SA-CCR, CVA risk) is a plus