Counterparty Credit Risk Quant Role - Consulting Firm

About the client : A leading consulting firm

Counterparty Credit Risk quant profile responsible for methodology development to measure Counterparty Credit Risk.

Job Description

- Counterparty Credit Risk quant profile responsible for methodology development to measure Counterparty Credit Risk.

- Develop and enhance counterpart methodology models for exposure monitoring, collateral management, wrong way risk

- Prototypes/production code(C++/R/Python) and using them for exposure comparison.

- Address queries from various regulators.

Skill Sets

- Advanced degree in finance, mathematics, econometrics, engineering or other quantitative subjects with a minimum of 4 years of experience

- Well versed with Numerical simulations, Monte Carlo, derivative pricing/modelling, Computation of risk metrics

- A working knowledge of programming language like R, MATLAB, Python, C++ is strongly preferred