VP/AVP - Credit Risk

We have openings at a VP and AVP level with our client which is a captive unit of an investment bank.

The team is responsible for analyzing credit exposure of counterparty portfolios for daily reporting.

The role would include:

- Providing support for trade requests covering varied derivative products across varied markets (FX, Rates, equities, Commodities).

- Analyze existing portfolios by valuating and determining risk drivers and projecting credit exposure profiles for daily reporting.

- Quantify the exposure of trades and client portfolios.

- Develop and enhance credit exposure reporting processes.

We are looking for somebody

- with a quantitative degree Experience

- experience in derivative instruments and their characteristics.

- Knowledge of the credit risks surrounding derivatives products and potential credit exposure calculation

- Experience of programming (VBA within Excel and/or C++) would be an advantage.

- Experience in monte carlo and historical calculations would be preferred