Quant Risk Analyst - CCR - Contract - Inside IR35 - London
Core
Develop, maintain, and enhance counterparty exposure models and methodologies for a global banking group's Risk Analytics function.
Role type
Contract quantitative analyst (Counterparty Credit Risk)
Builds
Exposure models, model performance reports, and strategic risk analytics initiatives
Domain
Banking / Counterparty Credit Risk / Quantitative Risk
Deliverable
production ML models
Required skills
Counterparty Credit Risk, Exposure Modelling, xVA, Quantitative Risk, Model Validation, Potential Future Exposure (PFE), Expected Exposure (EE), Derivatives pricing, Quantitative risk modelling, Monte Carlo simulation, Python, Probability, Statistics, Stochastic processes
Preferred skills
Initial Margin modelling, SIMM modelling, Securities Financing Transactions (SFTs), C++, C#, Advanced quantitative qualifications (MSc, PhD, CQF, FRM)
Technologies
Python, C++, C#
Responsibilities
Develop and maintain counterparty exposure models; Support methodologies covering PFE, EE, and Stressed Exposure; Perform model calibration, testing, and backtesting; Investigate model issues and implement enhancements; Support new product onboarding; Work with technology teams on model implementation; Address model validation findings and regulatory requirements; Prepare management reporting; Support business stakeholders with quantitative analysis
Seniority
Contract, hands-on IC
