Snr XVA-CCR Quant Analyst (VP), London

Total to £240k + Benefits + Hybrid working
XVA, CCR Modelling, Flow Credit Pricing, SIMM, C++, Pythoin This global Investment Bank operates across the world’s most dynamic markets and has a great reputation both as a caring employer and for its state-of-the-art technology. It is now seeking to hire a Senior Quant Analyst for the development of Counterpart Credit Risk (CCR) Models based in its London, Paris or Singapore hubs.The team is responsible for a new Cross-asset derivatives & Capital models library which is the core engine of the trading & risk management platform. You will work with highly talented Quants and gain deep exposure to the asset class in a friendly and collaborative environment.RESPONSIBILITIES:Implement new risk & regulatory related analyticsDevelop CCR exposure simulation methodologies and toolsDevelop tools to monitor CCR model performance for stakeholders (Trading, Sales, Structuring & Risk)Developing credit risk reporting tools for trading book credit risk exposureESSENTIAL SKILLS:Minimum 3-6 years’ experience developing/validating, XVA / CCR modelsKnowledge of CCR / ECL Exposure calculations Good knowledge of numerical methods, stochastic calculus, & probability theoryExcellent programming in C++Able to communicate complex ideas in a clear mannerPhD or Masters in a scientific discipline
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