Business Analyst (Counterparty Credit Risk Change)

Business Analyst (Counterparty Credit Risk Change)
  • Competitive
    ANNUM
  • Contract
  • London, England, UK London London GBR eh3 8eg
Job Ref: 50211851
Sectors: Design & Architecture Business change & transformation Consulting & advisory
Date Added: 09 February 2021

Business Analyst - London - 6 Months (Inside IR35)

Our Banking client in London is looking for a Business Analyst for a 6-month contract to join an exciting Counterparty Credit Risk Change team to support complex changes required in the Counterparty Credit Risk systems related to OTC Derivatives

Essential Experience: (Must have skills)

Knowledge

  • Monte-Carlo simulations, including collateral modelling
  • Pricing of OTC derivatives across various asset classes
  • Back-testing concepts for counterparty credit risk
  • Stress-testing
  • Capital calculations under Basel III / CRDIV / SACCR

Quantitative Skills

  • Numerate degree plus MSc
  • Analytical mind set focused on problem solving
  • Hands-on experience of basic OTC derivative pricing models such as Black-Scholes
  • Counterparty Credit Risk measures (PFE/EPE/EEPE) and CVA modelling
  • Econometric Models and Time Series Modelling
  • Terms Structure Modelling, Yield Curve Construction and Principal Component Analysis

Business Knowledge

  • Good experience within Investment Banking including strong traded-product knowledge.
  • Understanding Credit Risk management including methodology, processes and terminology
  • Understanding RWA finance calculations in relation to trading book products including methodology, processes and terminology

If this position is a match to your skillset and experience please apply by submitting your CV and I will be in touch by telephone as required.

We are an equal opportunities employer and welcome applications from all suitably qualified persons regardless of their race, sex, disability, religion/belief, sexual orientation, gender reassignment, marriage and civil partnerships, pregnancy or maternity or age

Lorien
11/03/2021 17:53:19
GBP Annum
Contact Consultant:
Kyle Miller

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