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Principal Risk Consultant

Counterparty Credit Risk (CCR) and Credit Valuation Adjustment (CVA)

Working with CMC clients you will support and review the development of processes financial models in the areas of Counterparty Credit Risk (CCR) and Credit Valuation Adjustment (CVA).

The role will act as a Subject Matter Expert across a variety of CCR / CVA engagements, in front and middle office environments. You will perform CCR / CVA modelling, validation and back & stress testing and provide assistance in building models and risk engines.

You may be required to govern and run frameworks and benchmark market best practice.

Skills and experience

  • Master's degree with a strong result in a quantitative subject, e.g. mathematics, statistics, engineering, physics.
  • Professional qualification (such as PRMIA or GARP) advantageous.
  • Strong technical knowledge and extensive quantitative modelling experience. Programming skills (VBA as a minimum, C++, SAS etc. beneficial).
  • Experience in the financial services industry, including very strong financial Derivative knowledge.
  • Relevant risk management experience, including credit and/or market risk, covering governance, methodologies, processes and reporting.
  • Additional experience of some of the following: capital frameworks, stress testing, risk appetite and regulatory requirements (Basel II / Basel III / ICAAP).
  • Financial Services experience, either as part of a Financial Services Institution, or in an advisory or business consulting capacity to similar organisations.

Personal attributes

  • A key component of this role is to produce proposals and build and maintain strong relationships with clients and industry experts, therefore strong commercial and interpersonal skills are essential.
  • Confident, inquisitive, motivated, a self-starter truly interested in growing and leading this dynamic company and taking ownership of CMC's future growth.