España - IT Counterparty Credit Risk Manager

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• The successful candidate will possess a PhD, DEA or equivalent in Finance, Computer Science, Engineering, or related field and experience in the job offered or related occupation. • At least 15 years of work experience, preferably in Global Markets or Risks. • Knowledge of having developed a trading and risks system for calculating real-time incremental CVA, and that allows position management to the trading desk. • This role will require a high level of mathematical finance ability including the understanding of derivative pricing using mathematical techniques such as Stochastic Calculus, PDE s, and modelling such as Libor Market Model, Local Volatility and Stochastic Volatility. • The candidate should be familiar with the components of a system for calculating real-time incremental CVA and adjustments for liquidity and capital consumption. • Related to CCR, from a functional standpoint, the candidate should know the impact from the perspective of the areas involved, Front Office, Back Office, Legal, Risks. And from a technical standpoint, the candidate should have knowledge of ESB, Java’s Architectures, Grid Computing, Mass Storage and Distributed Storage Systems. Se Ofrece: • We offer the possibility of joining a company with a strong leadership position in t ...

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