Quantitative Modelling Developer - CCR Focus

Take charge of Counterparty Credit Risk solutions as a Senior Quantitative Modelling Developer. Your role will center around implementing a Monte Carlo-based framework to enhance risk measurement and management.

In this dynamic engineering position, you will be responsible for developing and calibrating exposure models while ensuring alignment with front office pricing systems. Collaborating with key stakeholders, your contributions will be vital in transitioning to an internal CCR solution. Mastery in quantitative methods and strong programming skills are required to excel.

Key Responsibilities:

• Develop an internal CCR replacement solution
• Extend front office systems to support CCR requirements
• Create and maintain Monte Carlo exposure models
• Lead calibration initiatives within existing frameworks
• Generate key CCR metrics and analyses

Requirements:

• 7+ years in quantitative finance, focusing on CCR
• Strong knowledge of funding and calibration methodologies
• Expertise in Python and C# programming
• Bachelor’s required; PhD preferred in relevant disciplines
• Ability to document methodologies clearly and effectively

Utilize your quantitative background to enhance and innovate CCR-related projects and methodologies.

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