Contract Quant: Counterparty Risk & Exposure Modeling

Investigo; Greater London; Hybride; GBP 65 000 - 95 000; Plein temps

Résumé du poste

Investigo is seeking a Contract Quantitative Analyst to join its Counterparty Credit Risk (CCR) team in London on a hybrid basis (3 days in the office). The role focuses on developing and enhancing exposure models, PFE, EE, and stressed exposure measures within a high-profile risk analytics function.

The ideal candidate will bring strong CCR, xVA, and model validation experience, with Monte Carlo simulation proficiency and advanced Python skills.

Qualifications

• Experience in Counterparty Credit Risk, Exposure Modelling, xVA, Quantitative Risk or Model Validation.
• Experience in investment banking or capital markets environments.
• Strong understanding of PFE, EE, CCR methodologies, Derivatives pricing principles, and quantitative risk modelling techniques.
• Experience with Monte Carlo simulation frameworks.
• Strong Python programming skills.
• Excellent understanding of probability, statistics and stochastic processes.
• Ability to explain model design, assumptions, calibration approaches and limitations in detail.

Responsabilités

• Develop, maintain and enhance counterparty exposure models.
• Support methodologies covering Potential Future Exposure (PFE), Expected Exposure (EE) and Stressed Exposure measures.
• Perform model calibration, testing, performance analysis and backtesting.
• Investigate model issues and implement enhancements to improve robustness and accuracy.
• Support new product onboarding into the risk framework.
• Work with technology teams on model and system implementation changes.
• Address model validation findings and regulatory requirements.
• Prepare management reporting and contribute to governance forums.
• Support business stakeholders with quantitative analysis and exposure-related investigations.
• Contribute to strategic risk and modelling projects across the wider Risk function.

Connaissances

Python programming

Counterparty Credit Risk

Exposure Modelling

Monte Carlo simulations

Statistical reasoning

Formation

MSc/PhD / CQF / FRM or similar

Outils

C++

C#

Description du poste

Investigo is seeking a Contract Quantitative Analyst to join its Counterparty Credit Risk (CCR) team in London on a hybrid basis (3 days in the office). The role focuses on developing and enhancing exposure models, PFE, EE, and stressed exposure measures within a high-profile risk analytics function.

The ideal candidate will bring strong CCR, xVA, and model validation experience, with Monte Carlo simulation proficiency and advanced Python skills.