Quantitative Counterparty Risk Analyst

  • Company

    McGregor Boyall

  • Location

    UK-London

  • Compensation

    Up to c£70,000 base + bonus

  • Position Type

    Permanent

  • Employment type

    Full time

  • Updated

    10 Nov 2009

  • eFC Ref no

    582263
Counterparty Risk-Analytics provides quantitative & analytical support to the groups product businesses, relationship managers and independent risk-management. The groups Risk-Management framework recognises the wide range and diversity of global business activities by balancing strong corporate oversight with defined independent risk-management functions at the business level.

A global and prestigious investment banking group is looking to appoint a Quantitative Risk Analyst at AVP level to join their Counterparty Risk Analytics group based in London.

Key Responsibilities include:

Calculate Counterparty Exposure on derivative products across all markets/asset classes

Develop/create models/spreadsheets for exposure calculation

Discuss complex & structured transactions with business (structurers/traders) and risk

managers

Advise on credit risk mitigation and explain counterparty risks to sales, trading & credit

risk management

Participate in further development of Counterparty Analytics tools & infrastructure

Experience/Qualifications:

PhD/Masters quantitative discipline

Experience in a quantitative role in financial/consulting services with good

understanding of derivatives' modelling/pricing

Product knowledge of a wide range of derivative structures of different asset classes

(e.g. FI, Eqty, cmdty, FX, Credit)

Direct experience of counterparty risk calculations is preferred

C++, Matlab, VBA programming is essential

  • Contact:

    Sara Kronenberg

  • Company:

    McGregor Boyall

  • Website:

    www.mcgregor-boyall.com/technology

  • Recruiter Ref:

    EFSK77949/0/0

  • Note: Please quote eFC Ref: 582263 when applying for this job.

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