Quantitative Analyst – Counterparty Credit Risk (PFE)

Quanteam UK; Greater London; On-site; GBP 90,000 - 130,000; Full time

Job summary

Quanteam UK is seeking a senior quantitative analyst to develop and maintain counterparty exposure models, with emphasis on PFE, EE and CVA. You will support ongoing BAU operations and in‑flight development projects, while enhancing methodologies to improve accuracy and robustness.

The role requires deep experience in Monte Carlo exposure modelling, Python/R, and advanced quantitative techniques, with strong communication for governance reporting and cross‑functional collaboration.

Qualifications

• 7+ years of quantitative analytics experience in a financial institution
• Strong practical experience with PFE, EE and CVA
• Proficiency in Python, R, Excel and Monte Carlo exposure modelling

Responsibilities

• Develop, maintain and enhance counterparty exposure models (PFE, EE)
• Support BAU model operation and in-flight development projects
• Improve exposure measurement accuracy, robustness and efficiency
• Design and execute model testing, assess assumptions and methodology
• Monitor model performance, backtesting and controls
• Investigate model issues, identify root causes and remediation
• Specify and support system/model changes and controls
• Assist stakeholders with exposure calculations and pre-trade queries
• Prepare management information and governance materials
• Coordinate risk analytics for new products in relevant forums

Skills

PFE modelling

EE & CVA

Monte Carlo

Python

R

Excel/VBA

Stochastic calculus

C# / C++

FRM / CFA

Education

Master's in Mathematics/Statistics/Financial Mathematics

Tools

QuIC / FraimWRX

Job description

Key Responsibilities

• Develop, maintain and enhance counterparty exposure models, in particular PFE and Stressed Exposure.
• Support BAU model operation and the delivery of in-flight model development and enhancement projects.
• Develop analytical methodologies and model enhancements to improve the accuracy, robustness and efficiency of exposure measurement.
• Design and execute model testing, including assessment of model assumptions, methodology, implementation and performance.
• Run, analyse and expand model performance monitoring, including backtesting and compensating controls around model assumptions, limitations and weaknesses.
• Investigate model issues, identify root causes and recommend remediation or enhancement activities.
• Specify, test and support the implementation of system and model changes, and improve operational controls around the exposure models.
• Support business, credit risk and other stakeholders with queries on exposure calculations, model outputs and pre-trade requests.
• Prepare management information, model performance reporting and materials for working groups, committees and governance forums.
• Represent the team within New Product Approval working groups, coordinating risk analytics requirements and testing for new products.

Technical Competence

Required

• Minimum of 7 years' relevant experience in quantitative analytics, model development, model validation, counterparty risk or market risk within a financial institution, including experience in a counterparty credit risk methodology role.
• Strong working knowledge of PFE models, together with Expected Exposure (EE) and Credit Valuation Adjustment (CVA).
• Experience with Monte Carlo simulation techniques and exposure modelling frameworks.
• Understanding of financial markets and products, including derivatives, and of derivatives pricing principles and quantitative modelling techniques.
• Knowledge of probability theory, stochastic processes and stochastic calculus.
• Proficiency in Python, R, Excel and VBA.
• Master's degree or higher in a quantitative discipline such as Mathematics, Statistics, Financial Mathematics or Quantitative Finance.
• Experience with the QuIC / FraimWRX risk engine.
• Experience of exposure measurement for Securities Financing Transactions (SFTs).
• Knowledge of object-oriented programming languages such as C# or C++.
• Professional qualifications such as FRM, CQF, CFA or equivalent.

Behavioural Competence

• Ability to become productive quickly within an established team and pick up BAU and in-flight project work with limited handover.
• Clear communication, adjusting content to technical and non-technical audiences, including in management and governance reporting.
• Accuracy, attention to detail and an analytical approach to model testing, monitoring and issue investigation.
• Sound judgement and problem-solving when identifying root causes and recommending remediation.
• Effective time management, balancing urgent BAU requests with longer-term project deliverables under tight deadlines.
• Collaborative and professional approach when working with credit risk, IT, model validation and front office stakeholders.
• Ability to work on own initiative and contribute proactively to wider risk function initiatives.

Our Commitment

We are committed to a diverse and inclusive workplace where all individuals are respected and valued. We welcome applicants from every background and uphold equality across all characteristics. Diversity drives innovation and strengthens our ability to deliver exceptional results. Our aim is an environment where everyone can thrive and contribute to collective success.