Senior Counterparty Risk Quant - PFE, CVA & Modeling

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

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.