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Leading European Investment Bank seeks a top Risk Methodology Quantitative Analyst Developer to join this high performing Risk Quant Team.
You will be responsible for upgrading and maintenance of the IRC DRC (Default Risk Charge) Model. You will take ownership of the model and look after the Codebase, Portfolio Changes and complying with new regulations.
Having a minimum of 3 years commercial experience, you possess strong Risk Methodology development expertise, in either VaR, CVA or FRTB coupled with a general understanding of either IRC/DRC or FRTB.
Ideally you will have modelling experience with Credit Derivatives,in particular Corporate Bonds, CDS, Soveriegn Bonds and or Index CDS. You must have key Coding skills in either C++ or Python and SQL would be advantageous.
All applicants must be strong communicators, having solid organisational skills, be able to work independently and posses a minimum of a MSc Degree in any Quantitative discipline.