Quantitative Analyst/Model Validation - Counterparty Risk

London

As a Quantitative Analyst (VP) within Counterparty Risk, you will be responsible for comprehensive model validation related to computing counterparty credit risk (CCR) for the banks' derivatives portfolio. These are implemented in a shared quantitative library (Omega) which aims to reuse common high-performance pricers and models across all use cases, requiring a high degree of collaboration with quants and quant developers across quant teams representing a wide range of areas of the bank.

What will you be doing?
 

• Model validation for Monte Carlo simulation for Counterparty Risk
• Improvements to existing CCR models and methodologies
• Model documentation and testing
• Development of quantitative library functionality for counterparty risk
   

What We’re Looking For
 

• Excellent analytical and numerical skills
• Experience with Monte Carlo simulation and relevant modeling and statistical knowledge
• C++ and Python experience with excellent algorithmic design and reasoning skills
   

Skills That Will Help You In The Role
 

• Master’s Degree or PhD in Computer Science, Mathematics, Physics or other scientific discipline
• Proactive and being able to think outside the box

#LI-CM4