Counterparty Credit Risk Quant

We have an opportunity for a financial institution recognized for its strong quantitative risk culture and cutting-edge modelling environment. The team is responsible for developing and enhancing models that support regulatory capital calculations and internal risk monitoring, with a focus on counterparty credit risk.

Role Overview:

As a Quantitative Risk Analyst, you will be a key contributor to the development and improvement of the Internal Model Method (IMM) framework. Your work will involve designing and executing quantitative studies to incorporate new risk factors, modeling Wrong-Way Risk (WWR), and supporting the IMM homologation of REPO transactions.

Key Responsibilities:

• Develop and enhance IMM models used for Counterparty Credit Risk (CCR) capital calculation.
• Conduct studies on Risk Not in Model (RNIM), ensuring appropriate treatment of non-modelled factors.
• Assess and implement Wrong-Way Risk (WWR) models.
• Contribute to the regulatory validation and homologation of REPO and other secured transactions under IMM.
• Collaborate with internal stakeholders, including risk methodology, model validation, front office quant teams, and regulatory compliance teams.
• Prepare technical documentation in line with regulatory expectations (e.g., ECB, PRA, EBA).

Required Skills & Experience:

• Strong academic background in quantitative finance, mathematics, statistics, physics, or engineering (Master’s or PhD preferred).
• Proven experience in risk modelling, preferably with exposure to IMM, CCR, or similar regulatory capital models.
• Solid understanding of financial products, especially derivatives and REPO.
• Programming proficiency in Python, C++, R or similar languages used in model development.
• Knowledge of regulatory requirements (Basel III/IV, CRR/CRD) is a plus.
• Strong communication and documentation skills.