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
-
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
-
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