Quantitative Risk Analyst - Counterparty Risk, VTB Capital
The role involves working within the Quantitative Risk Management in the areas of counterparty risk modelling, model validation and model risk management related to derivative transactions.
The new hire will play a key role in the global counterparty risk modelling activity across VTB Group by providing quantitative support for the Counterparty Risk system, performing analysis and calibration of counterparty risk models and credit analysis of derivative transactions.
Being a part of a small group the new hire will have an opportunity to contribute to various areas of Quantitative Risk function by providing quantitative expertise to the ongoing activities of the Risk Management.
• Serve as a key specialist for Counterparty Risk modelling including calibration of credit simulation models and pre-trade analysis of credit risk of derivative transactions;
• Provide quantitative support for risk calculations in the Credit Risk system including analysis and testing of pricing and risk simulation models;
• Perform product and market data analysis in Front Office and Risk systems to ensure the correctness of risk representation;
• Validate models for derivative pricing and credit risk simulations and, in some cases, independent replicate the results;
• Document model calibration, model validation and testing results;
• Further develop in-house quant risk tools implemented in C#
Key Competencies & Qualifications
• Higher quantitative degree, preferably in Physics, Maths, Quant Finance, or Engineering.
• A proven track record in one or more of the following areas in an investment banking environment:
Counterparty Risk analysis of derivatives transactions
Model validation or model development
Market Risk of derivatives transactions
• Strong knowledge of pricing and risk models including Monte-Carlo techniques;
• Wide product knowledge across asset classes;
• Familiarity with counterparty risk measures: PFE, EPE, CVA;
• Solid quantitative skills and ability to carefully analyse numerical data at a detailed level;
• Programming ability, preferably in C# - good to have;
• Knowledge of Calypso and Adaptiv Credit Risk systems – useful, but not essential
• Outgoing and engaging.
• Official employment
• Competitive salary
• Professional training and development
• Voluntary medical insurance for employee and their family members, life and health insurance, banking products on attractive terms
• Sport and corporate events
• Ability to build your career in the leading Russian investment bank
VTB Group’s Corporate Investment Business is a leader in the international investment banking sector in Russia. VTB Capital has achieved significant results since it was founded in 2008 and has carved out a reputation of a reliable business partner for clients from around the world. VTB Capital operates in Moscow, London, Hong Kong, Singapore and Sofia as well as on the basis of the VTB Group’s international offices in Shanghai, Frankfurt, Vienna and Zug. It is headquartered in Moscow.
Published (Active) Created: 30/04/2021