VP – Counterparty Stress Testing Quantitative Analytics

My client is a leading international corporate and investment bank.  An internal move has led to an opportunity for a talented quant to join as a team leader for the firms counterparty stress quant team.  The role will manage a small, high calibre team of quants in developing stress testing models for the firms counterparty risk exposures across the whole derivatives portfolio (primarily fixed income but also some equities).

You will be modelling credit projections for stress testing, capital planning and strategy setting purposes, with extensive visibility at a senior level within the bank and with executives and regulators.

To succeed, you’ll need knowledge of counterparty credit (IMM), XVA or pricing model development, with strong technical and communication skills. We’ll also look for you to have significant experience of credit risk analysis or modelling in an investment banking environment, and a thorough understanding of stress testing requirements and the process, models, methodology and controls for generating credit risk scenario projections.

​You should also hold a degree in a quantitative discipline such as Mathematics, Statistics, Econometrics or Economics preferably to PhD or post graduate level or with additional professional qualifications, such as a CFA or FRM.