A leading British bank is looking to building up its FO risk analytics team. This is due a 5 year strategic plan to revamp their entire risk analytics of the bank. In return, the bank is offering significant career progression opportunities.



Quantification of Counterparty Credit Risk exposure, CVA and regulatory measures on a wide range of derivative products across asset classes

§ Modeling risk factors across various asset classes (FX, IR, Equity, Commodity, Credit)

§ Product Focus:

- FX: vanilla, barrier, exotic

- Fixed income: swaps, swaptions, caps/floors, snowballs, exotic swaps, FRNs

- Equities: swap, option and structured products

- Oil, Power & Gas: financial & physical delivery, swaps, vanilla, spread options

- Credit Derivatives: CDS, CDO, LTRS

- Repo-style transactions,

- Structured transactions

§ Methodology and calculation of credit, CVA and regulatory measures (e.g. PFE, EPE, EEPE, RWA) on a wide range of vanilla and exotic derivative products for uncollateralised and collateralised portfolios

§ Calibration and implementation of models ranging from variations of Vasicek, OU, CIR to semi-parametric historic simulation models.

§ Risk mitigation: netting, collateral

§ Additional credit controls: specific and generic Wrong Way Risk

§ Basel II, BIPRU, IMM

§ Backtesting, stress-testing

§ Extensive project management



Ideal Profile



· Solid quant background

· Risk exposure

· Numerical educational background



All applications to risk@selbyjennings.com



www.selbyjennings.com