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Top European Finance Institution is seeking an experienced Counterparty Risk Quant to join its team in London. The team covers all areas of risk: Credit, Counterparty Risk, Traded Risk, Asset Liability Management and Liquidity, Operational, IT security, Pension and Actuarial and Capital Adequacy. Most of the Division's work is firm-facing, consisting of on-site visit work or thematic horizontally-focussed project work. We work closely with the Bank of England and Treasury and other regulators globally. . The Counterparty Risk Team is focused on providing expertise on counterparty credit risk related to firms' OTC derivative and securities financing transactions trading book activities. The scope of the team's responsibilities includes review of models used to calculate counterparty risk exposure; validation and backtesting of the models; stress testing; wrong way risk identification and management; collateral management; portfolio quality; counterparty risk governance and management; and thematic reviews. The Counterparty Risk Team covers a wide range of firms including: banks, investment banks, central counterparties, asset managers, and custodians. What does this job involve ?- Review of counterparty risk modelling, measurement and management practices within firms. The work involves assessing these practices within regulated firms and assessing them against international Basel 2 standards for capital requirements.
- Analysing industry and firm-specific data and following industry trends to inform and deepen the understanding and assessment of counterparty risk and counterparty risk management, and contribute to the development of policy and practice for counterparty risk.
- Collaboration with other teams (e.g. market, credit, operational or liquidity risk review teams) to ensure that risks of different natures arising from counterparty relationships across market players are identified consistently.
Which Essential & Desirable skills are required? - Substantial industry experience either (a) building or validating counterparty credit risk or market risk exposure models; or (b) managing counterparty credit risk with a detailed understanding of credit risk exposure modelling.
- A high degree of familiarity with industry practice in counterparty credit risk measurement and management is essential.
- A strong knowledge of traded instruments, front office pricing models and risk factor diffusion models. This should include familiarity with valuation issues, notably for complex instruments. This should also include knowledge of the market that is sufficient to take a view on the suitability of modelling assumptions.
- Good understanding of the Basel 2 IMM requirements.
- Work experience related to both OTC derivatives and securities-financing transactions (e.g. repos, securities lending, etc.) is highly desirable.
- Proven quantitative skills with a post-graduate degree in a quantitative or finance-related discipline.
What will I get from the role ? - To work in an intellectually stimulating environment, within a high-profile and highly-regarded team, that makes a significant contribution to the delivery of the firms objectives.
- The opportunity to apply your technical abilities and good judgment to important real-world issues that impact on firms and on people.
- To make a difference to the financial services industry by improving the way that firms organise and manage their counterparty risk measurement and management.
- An excellent opportunity to develop and hone highly-valued skills and broad-based experience in risk management through observing a range of practice in different leading firms.
To apply or for more information, please contact quantexotic@selbyjennings.com www.selbyjennings.com , +44 (0) 207 019 4137
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