Senior Quantitative Developer for CCR

Drive the CCR replacement project as a Senior Quantitative Modelling Developer. Leverage your expertise in Monte Carlo simulations and CCR exposure modelling to implement a cutting-edge internal solution.

This hands-on role is pivotal in transforming the Counterparty Credit Risk framework at a major financial institution. You will collaborate directly with front office systems, utilizing deep quantitative skills to enhance Monte Carlo exposure models across diverse asset classes. Strong experience in real-world model calibration and technical delivery in high-pressure environments is essential.

Key Responsibilities:

• Implement a Monte Carlo-based CCR solution
• Work with front office CVA/DVA pricing systems
• Develop and maintain exposure models across asset classes
• Lead real world calibration of simulation models
• Prototype new calibration methodologies in Python

Requirements:

• 7+ years in quantitative roles focusing on CCR
• Extensive Monte Carlo simulation experience
• Proficiency in C# and Python
• Proven real-world model calibration expertise
• Bachelor’s degree in a relevant field required

Apply your quantitative skills and technical expertise to lead impactful projects in Counterparty Credit Risk.

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