Quant Risk Analyst - CCR - Contract - Inside IR35 - London

Investigo; Greater London; Hybrid; GBP 65,000 - 95,000; Full time

Job summary

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.

Responsibilities

• 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.

Skills

Python programming

Counterparty Credit Risk

Exposure Modelling

Monte Carlo simulations

Statistical reasoning

Education

MSc/PhD / CQF / FRM or similar

Tools

C++

C#

Job description

Contract Quantitative Analyst - Counterparty Credit Risk (CCR) London | Hybrid (3 Days Office) | Contract

A leading global banking group is seeking a Contract Quantitative Analyst to join its Risk Analytics function, supporting the development and enhancement of Counterparty Credit Risk methodologies across a broad range of asset classes. This is a highly visible role sitting within a specialist quantitative team responsible for exposure modelling, model performance, governance and strategic risk analytics initiatives. The successful candidate will work closely with Risk, Front Office, Technology and Model Validation teams.

Responsibilities

• 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.

Required Experience

• Strong background in Counterparty Credit Risk, Exposure Modelling, xVA, Quantitative Risk or Model Validation.
• Experience working within investment banking or capital markets environments.
• Strong understanding of Potential Future Exposure (PFE), Expected Exposure (EE), Counterparty Credit Risk methodologies, Derivatives pricing principles, 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.

Preferred Experience

• Initial Margin or SIMM modelling.
• Securities Financing Transactions (SFTs).
• Exposure modelling across Rates, FX, Credit, Inflation or Equities.
• Knowledge of C++ or C#.
• Advanced quantitative qualifications (MSc, PhD, CQF, FRM or similar).

Candidate Profile

This opportunity would suit a hands-on quantitative analyst who enjoys owning models throughout their lifecycle, from development and calibration through validation, governance and ongoing enhancement.