Description
Company Overview:
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.
Required Experience:
- CCR & XVA models experience (please do NOT apply unless you have this)
- 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.
Core Objectives:
1. Review and improve or re-build the existing suite of models and methodologies
2. Drive improvements to the systems and data infrastructure supporting deployment of CCR&XVA models
3. Coordinate projects aimed at aligning methodologies, governance, and policies around the Group
4. Keep abreast of business (trading, structuring & credit risk manager) and regulatory requirements
5. Engage in industry discussions aimed at informing policy
Experience Required:
- At least 4 years of experience in CCR/XVA Quantitative Analytics team
- Involvement in building CVA Sensitivities models
- Developing solutions in Java or C++ libraries
- Ability to lead, manage, and successfully deliver projects within agreed time scale with all relevant stakeholders: model owners, credit, business, IT, senior management, regulators
- Clear familiarity with key risk measures such as CVA, EPE, PFE
Education Requirements:
- Minimum Masters level in Math/Computer Science/Engineering discipline
Technical Skills:
- Excellent understanding of Stochastic Calculus applied to quantitative finance
- Numerical optimisation techniques
- Ability to break methodology design into atomic testable blocks that can be implemented in automated testing suite
- Ability to construct automated testing suite around BAU work to avoid redundancy
Development Skills:
- Expert Java or C++ developer not afraid to learn other languages (passionate about profiling, refactoring and optimising messy code) with Test Driven Development approach
Personal Attributes:
- Open personality with effective communication skills
- Ability and flexibility to work in an international team
- Ability to write clear and understandable documents