Senior Counterparty Credit Risk Quantitative Analyst

  • Location

    London, England

  • Sector:

    Banking & Financial Services

  • Job type:


  • Salary:


  • Contact:

    Phoebe Cheung

  • Contact email:

  • Job ref:

    PCH - Risk_1615902238

  • Published:

    7 months ago

  • Expiry date:


  • Consultant:



  • 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 a more accurate CCR&XVA risk measurement and management. Throughout the process, regular interaction with key stakeholders is expected which add to the role the requirement for strong communication skills. The core objectives are
  • to review and improve or re-build the existing suite of models and methodologies,
  • to drive improvements to the systems and data infrastructure supporting deployment of CCR&XVA models, and
  • to coordinate projects aimed at aligning methodologies, governance and policies around the Group, and
  • keep abreast of business (trading, structuring & credit risk manager) and regulatory requirements, and
  • engage in industry discussions aimed at informing policy.


  • Strong experience in CCR/XVA Quantitative Analytics team. Having been personally involved in building simulation (Monte Carlo scenario generation) models and developing simulation solution in C++ libraries
  • Ideally previously involved in successful regulatory submissions (Successful ECB submission is a plus).
  • Ability to lead, manage and successfully deliver projects within the agreed time scale, in liaison with all relevant stakeholders: model owners, credit, business, IT, senior management and regulators.
  • Clear and demonstrable familiarity with key risk measures such as CVA, EPE, PFE.
  • Minimum Masters level in Math/Computer Science/Engineering discipline
  • Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation technics
  • Ability to break methodology design in atomic testable blocks that can be implemented in automated testing suite
  • Ability to construct automated testing suite around BAU work to avoid redundancy and repetition in daily routine
  • Expert C++ developer not afraid to learn other languages (passionate about profiling, refactoring and optimising messy code) and with Test Driven Development approach
  • Open personality and effective communication skills, ability and flexibility to work in an international team
  • Ability to write clear and understandable documents

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