A leading Professional Services organization is seeking a Senior Quantitative Modeler on a contract basis to work on project for a leading Bank. This role will require you to be onsite in London twice a week.
The Quantitative Modeler must have experience in CCR & XVA models. Please do NOT apply unless you have this.
Also experience in C++ OR Java Development skills is a must.
Role Purpose:
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 inter-action with key stakeholders is expected which add to the role the requirement for strong communication skills. The core objectives are
(1) to review and improve or re-build the existing suite of models and methodologies,
(2) to drive improvements to the systems and data infrastructure supporting deployment of CCR&XVA models, and
(3) to coordinate projects aimed at aligning methodologies, governance and policies around the Group, and
(4) keep abreast of business (trading, structuring & credit risk manager) and regulatory requirements, and
(5) engage in industry discussions aimed at informing policy.
Experience Required
- At least 4 years of experience in CCR/XVA Quantitative Analytics team. Having been personally involved in building CVA Sensitivities models and developing solution in Java or C++ libraries
- 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 Java or 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 documen