AVP, Traded Credit Risk & CVA Modeling Lead

Florence International Consulting; Dubai; Vor Ort; AED 420.000 - 660.000; Vollzeit

Zusammenfassung

Florence International Consulting seeks an experienced AVP for Traded Credit Risk in Dubai to support senior management with quantitative analytics and risk monitoring across derivatives and related products.

The role requires 7+ years banking experience, strong postgraduate quantitative background, and excellent programming skills in Matlab and/or C++. You will develop PTE/EE/EEPE models, set risk limits, and oversee daily traded credit risk processes.

Qualifikationen

• Strong quantitative academic background, preferably postgraduate.
• Extensive banking experience in risk/derivatives is required.
• Experience with CVA modelling is advantageous.
• Excellent programming skills in Matlab and/or C++ are essential.

Aufgaben

• Enhance and document models for PTE, EE, EEPE using Monte Carlo.
• Develop methodologies to set risk limits for traded derivatives and cash products.
• Assess inherent market and liquidity risks of approved and proposed products.
• Ensure traded instruments are authorized and appropriate for customers.
• Oversee daily traded credit risk processes and coordinate with underwriting, treasury and legal.
• Perform stress testing on portfolios and identify monitoring gaps.

Kenntnisse

PTE modelling

EE/EEPE

Derivatives risk

Monte Carlo

CVA modelling

Programming: Matlab

Programming: C++

Risk monitoring

Ausbildung

Advanced quantitative degree

Tools

MATLAB

C++

Jobbeschreibung

Florence International Consulting seeks an experienced AVP for Traded Credit Risk in Dubai to support senior management with quantitative analytics and risk monitoring across derivatives and related products.

The role requires 7+ years banking experience, strong postgraduate quantitative background, and excellent programming skills in Matlab and/or C++. You will develop PTE/EE/EEPE models, set risk limits, and oversee daily traded credit risk processes.