Quantitative Analyst – Counterparty Credit Risk (PFE)
Core
Develop, maintain, and enhance counterparty exposure models (PFE, Stressed Exposure) for Rates, FX, Credit, Inflation, Equity, and Bond Spreads across derivatives, Repo, and Securities Lending transactions.
Role type
Senior IC quantitative analyst (counterparty credit risk)
Builds
Counterparty exposure models, SIMM models, simulation models for structured financing trades, and front office xVA models
Domain
Financial services / Counterparty credit risk / Derivatives
Deliverable
production ML models
Required skills
PFE modelling, Expected Exposure (EE), Credit Valuation Adjustment (CVA), Monte Carlo simulation, derivatives pricing, stochastic calculus, Python, R, Excel, VBA
Preferred skills
QuIC / FraimWRX risk engine, Securities Financing Transactions (SFTs) exposure measurement, C# or C++, FRM, CQF, CFA
Technologies
Python, R, Excel, VBA, QuIC, FraimWRX
Responsibilities
Develop and enhance PFE and Stressed Exposure models; Execute model testing and performance monitoring including backtesting; Investigate model issues and recommend remediation; Support stakeholders with exposure calculation queries; Prepare management information and reporting; Represent the team in New Product Approval working groups.
Seniority
Senior, hands-on IC
