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Voir les 31 annonces d'emploi de SELBY-JENNINGS-LONDON
Quantitative Credit Risk Analyst-Credit Risk-London-salary: £80-110,000
Top Financial Institution seeks Quantitative Credit Risk Analyst to review counterparty risk modelling, measurement and management practices within firms.
The Role:
-The work involves assessing these practices within regulated firms and assessing them against international Basel 2 standards for capital requirements,
-On-site visits to regulated firms including interviews with staff coupled with desk-based review of documentation, formulation of findings, presenting results within the company, in internal reports, and to the firm, via letters and meetings,
-Analysing industry and firm-specific data and following industry trends to inform and deepen the company's understanding and assessment of counterparty risk and counterparty risk management, and contribute to the development of the company's policy and practice for counterparty risk,
-Collaboration with other teams (e.g. market, credit, operational or liquidity risk review teams) to ensure that risks of different natures arising from counterparty relationships across market players are identified consistently,
-Occasional travel within the UK or abroad for a few days at a time may be required.
Skills:
-Substantial industry experience either (a) building or validating counterparty credit risk or market risk exposure models; or (b) managing counterparty credit risk with a detailed understanding of credit risk exposure modelling.
-A high degree of familiarity with industry practice in counterparty credit risk measurement and management is essential.
-A strong knowledge of traded instruments, front office pricing models and risk factor diffusion models. This should include familiarity with valuation issues, notably for complex instruments. This should also include knowledge of the market that is sufficient to take a view on the suitability of modelling assumptions.
-Good understanding of the Basel 2 IMM requirements.
-Work experience related to both OTC derivatives and securities-financing transactions (e.g. repos, securities lending, etc.) is highly desirable.
Keywords: Risk, Counterparty, Quantitative, Analyst, Basel, exposure, Quant, London, UK
Please send in all enquiries by mail.
Apply by email.
Please do not modify the subject of the mail or your application will not be considered.
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