Model Developer, Quantitative Analyst Counterparty Risk - AVP
Counterparty Risk Analytics is responsible for developing and maintaining methodologies to calculate counterparty credit risk exposures of OTC derivatives, Exchanged-Traded derivatives and Security Financing Transactions. The models are used for advanced Basel regulatory capital calculations, stress testing, and internal risk management measures.
- Enhance counterparty credit exposure simulation, pricing, and margin/aggregation models for derivatives products, covering all major asset classes.
- Perform rigorous model testing as part of new model development and enhancement of existing models.
- Provide comprehensive analytical support to all model stakeholders.
- Contribute model prototype and testing code to the team's codebase, as well as to facilitate implementation of such models with the Risk IT.
Job Family Group:
- Master's Degree or equivalent in a quantitative field (Math, Statistics, Physics, Quantitative Finance etc.) with at least two years of relevant experience.
- Fewer years of experience will be considered for candidates with a PhD or second Master's degree.
- Working knowledge of Python including Numpy and Pandas is essential.
- Knowledge of Quant Finance foundations is a strong plus.
- Good verbal and written communication is very important.
Risk Management Job Family:
Risk Analytics, Modeling, and Validation Time Type:
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