CCR&XVA Quantitative Analyst

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Counterpart Credit Risk Analyst (CCR & XVA)6 MonthsLondon - remote to begin withDaily Rate Up to £632 - UmbrellaMy financial services client is seeking an experienced Quantitative Analyst to join their team. The successful candidate will have a strong background working with CCR & XVA models and be able to investigate and improve upon them where necessary.Essential Skills / Experience Required* At least 4 years of experience in CCR/XVA Quantitative Analytics team. Having been personally involved in building simulation models and developing simulation solution in C++ libraries.

* Ideally previously involved in successful regulatory submissions.

* Ability to lead, manage and successfully deliver projects within the agreed time scale, in liaison with all relevant stakeholders: model owners, credit, business, IT, senior management and regulators.

* Clear and demonstrable familiarity with key risk measures such as CVA, EPE, PFE.

* Minimum Masters level in Math/Computer Science/Engineering discipline

* Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation technicsDesirables* Ability to break methodology design in atomic testable blocks that can be implemented in automated testing suite

* Ability to construct automated testing suite around BAU work to avoid redundancy and repetition in daily routine

* Expert C++ developer not afraid to learn other languages (passionate about profiling, refactoring and optimising messy code) and with Test Driven Development approachPlease submit your CV in the first instance.