BUY SIDE Counterparty Credit Risk Analytics 

 

Organisation

 

A premier International Fund Manager is looking for an individual to join their Investment risk team to support a concerted build out of counterparty credit risk analytics.

 

Role

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• Support & Development of Credit portfolio analytics, modelling and stress testing.

• Support & develop Credit Risk Models (Probability of Default (PD), EAD & LGD)

• Ensured complete capture of market risks across relevant portfolios

• Construction and maintenance of market-driven credit curves and transaction pricing tools

• Generation of default data for engine

• Support and develop the framework and methodologies in line with the development of the business and impact of regulatory change both the interpretation and implementation

• Identifying concentrations of risk within the Credit Portfolio to enable efficient hedging strategies

• Support the continuous improvement across the business

 

Individual

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• Proven track record in Credit, Counterparty Credit Market Risk, Quantitative Analytics Treasury or Finance within a financial markets organization

• Knowledge of CVA, curve generation, model development or verification, VaR or  Treasury Analytics

• Strong organizational skills

• Impeccable communications both written and verbal

• Ability to work under pressure

• Ability to drive multiple projects simultaneously