Responsible for quantitative credit analysis of counterparty credit exposure for an international financial firm.

Responsibilities:

• Establish methodology and infrastructure for a credit valuation adjustment.
• Develop and enhancement of existing credit exposure metrics
• Supporting monitoring, reporting and enforcing of limits
• Support of collateral related analysis
• Manage Debit valuation adjustment methodology and infrastructure by which liabilities are adjusted based on current credit spreads.
• Measuring credit exposure for complex transactions - involvement in underwriting or structuring/pricing process to ensure that credit risk is appropriately compensated.
• Interfacing with regulators on ad hoc basis to provide risk data.
• Support of risk reporting framework
• Providing weekly and monthly senior level risk meetings with analysis and risk report preparation
• New transaction and pricing model review

Requirements:

• 7+ years experience in trading, counterparty risk management or related field
• Broad product knowledge covering equity, fixed income and commodities and their respective derivative products
• Experience in quantitative credit risk analysis, transaction underwriting and model validation
• Experience with insurance related products (e.g. ILS, Variable annuities, weather, energy commodity trading)
• Strong Excel & VBA skills
• Proficiency using Bloomberg Professional service. MUREX experience a plus.
• Strong team player with excellent interpersonal skills
• Top tier Quantitative education. Masters/MBA preferred.

To apply: For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com

Ashton Lane Group is a boutique executive recruitment firm serving the Banking, Insurance, and Alternative Investment sectors. For the latest opportunities, visit www.AshtonLaneGroup.com

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