This role involves contributing to the development of methodology for exposure pricing and path generation within the Counterparty Credit Risk internal model
Job Summary
This role involves contributing to the development of methodology for exposure pricing and path generation within the Counterparty Credit Risk internal model.
The position offers a competitive salary, non-contributory pension, and 30 days' holiday plus bank holidays with options to purchase additional days.
Candidates will work closely with Market Risk Management on Credit Valuation Adjustment (CVA) and Prudential Valuation adjustment on XVA.
Matching Summary
This role involves contributing to the development of methodology for exposure pricing and path generation within the Counterparty Credit Risk internal model.
Salary
Competitive salary; Non-contributory pension; 30 days' holiday plus bank holidays
Skills & Requirements
Must-have
PhD or MSc in quantitative discipline
Strong background in financial mathematics
Proficiency in stochastic calculus
Experience with Python programming
Knowledge of derivatives exposure engines
Nice-to-have
Excellent interpersonal collaboration skills
Ability to explain complex concepts effectively
Experience with regulatory audit responses
Familiarity with system architecture
Interest in hybrid working environments
Key Requirements
Graduate degree (PhD or MSc) in quantitative field
Demonstrable relevant industry experience in similar role
Good background in financial mathematics and stochastic calculus