Quantitative Risk Analyst - Counterparty Risk

Вакансия № 19972348 от компании ВТБ Капитал на Электронной Службе Занятости Населения Москвы.

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☑ Основной блок:

Опыт работы: не требуется.

Тип занятости: полная занятость.

График работы: полный день.

Зарплата: по результату собеседования.

Примерное место работы: Россия, Москва.

☑ Актуальность объявления:

Это объявление № 19972348 добавлено в базу данных: Суббота, 15 марта 2025 года.

Дата его обновления на этом интернет-ресурсе: Вторник, 18 марта 2025 года.

☑ Статистика предложения работы № 19972348:

Прочитано соискателями - 68 раз(а);
Отправлено откликов - 0 раз(а);

☑ Репутация компании "ВТБ Капитал":

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☑ Подробности о вакантном месте:

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.

Principal Accountabilities

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.

Benefit package:

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