full-time
Quantitative Analyst – Counterparty Credit Risk (PFE)
Quanteam UK
- Employer
- Quanteam UK
- Location
- London
- Working pattern
- on-site
About the role
Develop, maintain, test, and enhance counterparty exposure models, particularly PFE and Stressed Exposure, while supporting BAU operations and ongoing projects. Monitor model performance, investigate issues, support stakeholders with exposure queries, and contribute to governance reporting and new product approval. Requires at least seven years of relevant quantitative, model development, validation, or risk experience, including counterparty credit risk methodology, and strong knowledge of PFE, EE, CVA, Monte Carlo simulation, and derivatives. A master's degree or higher in a quantitative discipline and proficiency in Python, R, Excel, and VBA are required.