Counterparty Credit Risk Quant Analyst
GQR | Global Quant Recruitment - New York, NY

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Counterparty Credit Risk Quant Analyst - IMM Internal Model Method Risk Modeling Analytics Team - Counterparties Statistical VaR Stress Testing Time Series Driven Quant Model Group – Counterparty Credit Risk Models Analytics - Counterparty Credit Risk Analytics Leading Global Investment Bank - New York, USA - (Ref: 20130509)

JOB DESCRIPTION
Calling all counterparty credit risk quants! Already a dominant presence within quantitative risk markets, this leading investment bank is expanding its counterparty credit risK quant group in line with the changing regulations. They need those with stress testing, VaR, risk modeling abilities across counterparties. Offering experienced Counterparty Credit Risk Quants the exposure to internal model method (IMM). This global investment bank is looking to add an experienced risk modeling quant on their NY desk, where you will get to work with their senior quant and CRO.
Locations: New York, USA
The role:
• This is a quant risk role incorporating risk factors and developing counterparty credit risk models for the firm.
• Working within a market leading team in the quant risk markets alongside senior risk quants and the CRO.
• Developing new counterparty credit risk quant models.
• Covering Basel and statistical analysis for existing counterparty credit risk models.
• Responsibilities in leading new projects, products and analytical efforts.
Requirements:
• 2-7 years counterparty credit risk modeling and exposure to statistical techniques.
• Should be very statistically minded i.e. experience using VaR, time series analysis, simulations etc.
• Ideally will have experience to IMM (internal model method) and/or developing counterparty market models .
• A quantitative degree in finance or technical discipline is preferred – masters or above.
• Experience with counterparty credit risk and statistical analysis.
• FRM and CFA would be a plus but not essential.
KEY WORDS:
Counterparty Credit Risk Modeling, Counterparty credit risk models, quantitative internal model method, quant credit risk modeling, Basel II, Basel III, VaR, Value at risk, time series analysis, Statistical analysis, stress testing.
This is an immediate hire, interviews are to begin soon and early application is advised. GQR also welcomes tentative enquiries from suitably qualified individuals.
Confidentiality and utmost discretion is 100% assured.
Although preferable, we do not require a CV, please feel free to get in touch regarding this role to talk to a member of the team to discuss this role. For more current openings with our clients, please see www.g-q-r.com/vacancies
We welcome speculative and tentative applications roles and others of a similar nature that we may have available on our books.
6. Applying: jobs@gqrgm.com
Contact: James Friend on +44 (0) 203 141 8000
VISIT US | www.g-q-r.com/vacancies
While a resume is preferable we also welcome tentative enquiries from well-qualified persons. To speak with an agent please contact one of our regional offices using the contact details listed below. Utmost confidentiality and discretion is assured.
LOS ANGELES | 1.310.807.5025
10877 Wilshire Boulevard, Los Angeles, CA 90024 | Office Hours: 6.00-21.00 PDT
NEW YORK | 1.212.763.8333
1325 Sixth Avenue, New York, NY 10173 | Office Hours: 9.00-21.00 EDT
LONDON | 0203.141.8000
Westminster Tower, London, SE1 7SP | Office Hours: 8.00-20.00 GMT
HONG KONG | 852.3678.6738
2 Exchange Square, 8 Connaught Place, Central | Office Hours: 9.00-21.00 HKT
VISIT US | www.g-q-r.com | www.g-t-r.com | www.gqrgm.com
GQR Global Markets
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