Counterparty Credit Risk Quant - Vice President
City of London
Hybrid (3/2 split)
Permanent
Up to £115,000
cer Financial are working alongside an exciting, mid-tier bank, who are based in the City of London. They are seeking a Counterparty Credit Risk Quant - Vice President to work with them on a permanent basis.
The responsibilities of the Counterparty Credit Risk Quant - Vice President will include:
- Develop and manage counterparty credit risk stress-testing scenarios aligned with market risk frameworks for daily and ad-hoc analysis.
- Collaborate with the Americas Quant team to enhance and implement stress-testing scenarios for the EMEA portfolio.
- Contribute to the Credit and Counterparty Credit Risk Committee, providing key risk insights and reporting.
- Deliver risk management services to regional entities in line with internal service agreements.
- Apply strong expertise in derivatives, repos, securities lending/borrowing, and fixed income products to support evolving business activities.
- Support the expansion of ICAAP and ICARA frameworks to Trading Book products, including capital calculation and stress-testing model development.
- Ensure risk and capital models remain compliant with internal policies and regulatory requirements.
- Participate in ICAAP/ICARA processes, including risk appetite setting, scenario design, stress testing, and capital assessments.
The successful candidate will have:
- Strong experience in Counterparty Credit Risk (CCR) analytics within financial services.
- Solid understanding of CCR metrics, including Potential Exposure, Wrong-Way Risk, and Stress Testing.
- Extensive knowledge of Fixed Income and Derivative products, including Bonds, Repos, and IR/FX/Credit derivatives, and their associated risks.
- Hands-on experience with risk models such as VaR and Expected Shortfall (ES), with strong knowledge of Basel capital regulations for Market Risk and CCR.
- Advanced proficiency in Excel and strong programming skills in Python, VBA, R, and SQL.
- Experience building and using data visualisation dashboards with Power BI and Tableau.
- Proficient with key industry tools and platforms, including Bloomberg, Power BI, Prism, GBR, and Microsoft Office applications.