Credit Risk Methodology - Python/C++/SQL
Job Title: EMEA Credit Risk Methodology
6 Month contract up to ??850 per day to be paid PAYE
The EMEA Risk Management Division is responsible for the independent identification, analysis, reporting and escalation of all market, credit and operational risk exposures arising from UK Group business activities, acting independently of business management and providing an effective challenge process.
Credit Risk Methodology Group (CRMG) is responsible for the development of Counterparty Credit Risk (CCR) models and methodologies for exposure calculations, credit capital calculations and internal risk management.
This position sits within the EMEA CRMG team and will work closely with the global CRMG function in New York. EMEA CRMG represents the global function responsibilities of Internal Model Methodology (IMM) and specifically covers the UK and EU entities.
The particular focus is to ensure the requirements from regional regulators and regional entity stakeholders are met across all Counterparty Credit Risk activities for which CRMG is responsible. CRMG works closely with Credit Officers, CVA Strategists, Front Office Quants, IT and Finance on an ongoing basis. The team has a significant amount of interaction with regulators for various advanced model applications and in episodic supervisory reviews.
- Developing and testing internal CCR exposure models and methodologies across all the asset classes (Equity, Rates, FX, Inflation, Credit, Commodities), and writing methodology documents.
- Enhancing existing simulation models of market factors and pricing models of derivatives.
- Prototyping the simulation and pricing models implemented in Production for risk analytics and model assessment.
- Benchmarking the pricing models in Risk to the models used in Front Office.
- Monitoring and enhancing various Risk frameworks, eg model backtesting, RNIMM etc.
- Performing self-assessment for counterparty credit risk models and ensuring the company's UK/EU entities are compliant with regulatory requirements for Internal Model Method (IMM).
- Responding to regulators with respect to any request regarding the IMM methodology.
- Supporting model validation of CCR exposure models by delivering quantitative justification and analysis responding to any identified model limitations.
- Working in advisory capacity to local and global risk managers and Front Office to ensure risk is appropriately captured in the systems.
- Supporting credit risk stress testing methodologies and framework.
Skills required (essential):
- Strong analytical and programming skills in Python and C++.
- PhD or MSc in a numerical subject or quantitative discipline such as mathematics, physics, engineering, statistics or computing science.
- Familiarity with databases and SQL.
- Experience with monte carlo simulation for IR/FX/EQ and Credit models.
- Theoretical understanding and familiarity with derivative pricing models and stochastic calculus.
- Experience liaising with Model Validation on new methodologies.
- Experience with backtesting frameworks and analysis.
- Familiarity with CRR (capital regulatory requirements)
- Strong analytical and problem solving ability.
- Good communicational, writing and presentational skills.