Counterparty Credit Risk Quantitative Analyst

Londres, Angleterre, Royaume-Uni

My client, a top tier investment bank is looking for a Counterparty Credit Risk Quantitative Analyst to join their team based in London. The Credit Risk Methodology Group is responsible for development of credit models for exposure calculations, credit capital calculations and credit risk rating models for risk managements.


Job Responsibilities:

  • Developing and reviewing exposure methodologies, implementation of exposure models
  • Liaising with model developers on the enhancement of exposure methodologies
  • Enhancing various Risk frameworks; Backtesting, RNIMM etc
  • Co-ordinating regulatory responses with respect to the IMM methodology
  • Supporting annual model validation of the exposure models


  • Good experience in Counterparty Credit Risk Model development
  • Good experience in initial margin calculations
  • Up to date working knowledge of the regulatory requirements and change, specifically those emanating from Basel and EU regulatory authorities including PRA and ECB
  • Experience with other programming languages (preferable Python)
  • Strong analytical skills and experience with Monte Carlo simulation and numerical analysis
  • Experience in a quantitative group at a commercial, investment bank or a consulting firm
  • MSc or PHD, or equivalent in highly quantitative subject such as maths, physics, finance or engineering
  • Good communication, written, presentation skills

Please send your CV to