Quantitative Analyst – Counterparty Credit Risk Models

Quantitative Analyst – Counterparty Credit Risk Models ( No visa sponsorship) We are exclusively working on a quant position (CCR) with a leading international financial institution’s Risk Analytics function, based in London. This role sits within a specialist team responsible for the development and maintenance of counterparty exposure and initial margin models.

Quantitative Analyst – Counterparty Credit Risk Models ( No visa sponsorship)

We are exclusively working on a quant position (CCR) with a leading international financial institution’s Risk Analytics function, based in London. This role sits within a specialist team responsible for the development and maintenance of counterparty exposure and initial margin models.

The role

You will play a key role in the modelling of counterparty credit risk, with a particular focus on Potential Future Exposure (PFE) and the ISDA Standard Initial Margin Model (SIMM). You will help design, enhance and maintain models used to measure and manage counterparty exposure across a broad range of traded products and asset classes, and support both day‑to‑day risk management and regulatory requirements.

Key responsibilities

• Develop, maintain and enhance counterparty exposure models, including PFE and related measures.

• Take ownership of initial margin calculations under ISDA SIMM, including ongoing performance testing and monitoring.

• Specify, test and help implement system and model changes to improve risk analytics and model infrastructure.

• Contribute to calibration, back‑testing and performance assessment of exposure and margin models.

• Produce and interpret stress exposure metrics and assess model behaviour under stressed conditions.

• Test risk outputs for new products and ensure they are appropriately captured in exposure and margin models.

Skills and experience

• Approximately 2 years’ experience in a relevant area such as quantitative risk, counterparty credit risk, XVA, pricing models or model validation.

• Exposure to derivatives pricing or risk models within a bank, securities firm, consultancy, audit firm or similar financial institution.

• Experience with counterparty risk, initial margin, exposure modelling, ISDA SIMM, FRTB or related regulatory frameworks is highly advantageous.

• Strong academic background to at least Master’s level (or equivalent) in a highly numerate discipline such as mathematics, statistics, physics, engineering, computer science or finance.

• Good understanding of financial markets and derivative products.

• Practical programming skills in Python or R, with additional experience in VBA and/or a compiled language (for example C++ or C#) beneficial.

If you meet the above set criteria, please apply or send a copy of your CV to hadjra.sohawon@robertwalters.com

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