The role involves leading the implementation of Basel IV and FRTB compliant Counterparty Credit Risk exposure solutions
Job Summary
The role involves leading the implementation of Basel IV and FRTB compliant Counterparty Credit Risk exposure solutions.
You will prepare business specifications and implement Python code to simulate exposure profiles for derivatives and securities financing transactions.
The position offers a hybrid working model, competitive salary, and comprehensive benefits including life assurance and private healthcare.
Matching Summary
The role involves leading the implementation of Basel IV and FRTB compliant Counterparty Credit Risk exposure solutions.
Salary
Competitive salary; Non-contributory pension; 30 days' holiday plus bank holidays
Skills & Requirements
Must-have
Python programming
Stochastic calculus
Derivatives exposure simulation
Basel IV compliance
FRTB implementation
Nice-to-have
Strong interpersonal skills
Regulatory presentation experience
Mentoring junior team members
Collaborative cross-functional work
Key Requirements
Graduate degree (PhD or MSc) in quantitative discipline