Senior Quantitative Risk Manager

Tasks

• Calculate counterparty credit risk exposures
• Calculate valuation adjustments XVA AVA
• Configure and maintain risk systems
• Contribute to in house infrastructure and business logic development
• Develop and implement valuation models
• Develop and validate counterparty credit risk models
• Drive regulatory change implementation
• Lead derivative valuation methodology improvement
• Monitor exposures against approved limits
• Support capital reporting exposure calculations
• Validate and test pricing models
• Validate and test risk models

Perks/Benefits

• Work-life balance

Skills/Tech-stack

AVA | C# | Counterparty Credit | Counterparty Credit Risk | Credit Risk | Derivative valuation | Financial regulation | Java | Model Validation | Pricing models | Python | Quantitative Finance | Quantitative risk | Risk Modeling | SQL | Valuation Adjustment | XVA