Business Analyst (Counterparty Credit Risk Change)

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