Description
About
A leading Professional Services organization is seeking a Senior Quantitative Modeler on a contract basis to work on project for a leading Bank. This role will require you to be onsite in London twice a week. The Quantitative Modeler must have experience in CCR & XVA models. Please do NOT apply unless you have this. Also, experience in C++ OR Java Development skills is a must.
Role Purpose
This is a role responsible for identifying and investigating deficiencies in CCR & XVA models, then addressing them by developing enhanced methodologies and software/library components for more accurate CCR & XVA risk measurement and management. Throughout the process, regular interaction with key stakeholders is expected which adds to the role the requirement for strong communication skills. The core objectives are to review and improve or re-build the existing suite of models and methodologies, drive improvements to the systems and data infrastructure supporting deployment of CCR & XVA models, coordinate projects aimed at aligning methodologies, governance and policies around the Group, keep abreast of business (trading, structuring & credit risk manager) and regulatory requirements, and engage in industry discussions aimed at informing policy.
Experience Required
- At least 4 years of experience in CCR/XVA Quantitative Analytics team.
- Having been personally involved in building CVA Sensitivities models and developing solutions in Java or C++ libraries.
- Ability to lead, manage and successfully deliver projects within the agreed time scale, liaising with all relevant stakeholders: model owners, credit, business, IT senior management and regulators.
- Clear and demonstrable familiarity with key risk measures such as CVA, EPE, PFE.
- Minimum Masters level in Math/Computer Science/Engineering discipline.
- Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation techniques.
- Ability to break methodology design into atomic testable blocks that can be implemented in an automated testing suite.
- Ability to construct an automated testing suite around BAU work to avoid redundancy and repetition in daily routine.
- Expert Java or C++ developer not afraid to learn other languages (passionate about profiling refactoring)
and optimising messy code) with Test Driven Development approach.
- Open personality with effective communication skills; ability
and flexibility to work in an international team.
- Ability to write clear
and understandable documentation.
Nice-to-have skills
C++, Java
Location
London, England
Work Experience
Data Analyst
Languages
English