A leading Investment Bank in NYC is looking to hire a VP level candidate specialized in Counterparty Risk model development to join their Quantitative Counterparty Risk Analytics team.
This hire will report directly to the Head of Risk Analytics and be responsible for the development and methodology of Counterparty Risk Models. This individual will join a growing team and have the ability to lead the team from day one. This candidate can have great exposure to senior management senior decision makers in the business as they continue to grow. Candidates will be responsible for hands on model development, and assisting and building models from scratch.
The ideal hire will be coming from a Risk or Quant background with experience in Market Risk Models, Market Risk Analytics, XVA Analytics, and Pricing Models. Candidates must be proficient in Python, C++, R, or SQL.
Responsibilities:
- Build and develop Counterparty Risk Models (PFE, EPE, XVA) in relation to for the firm's Traded Asset Classes (IR/FX/Credit)
- Engage with Risk Managers and FO Quants to understand methodology procedures for Model Development
- Develop new Risk Analytics and tools for Portfolio
- Work in the full model development life cycle from methodology to development to implementation
Qualifications:
- PhD or Advanced Degree in a Quantitative Function (Statistics, Mathematics, Physics, Quantitative Finance, etc.)
- 5+ Years of experience developing or validating Derivatives Pricing models or Counterparty Risk Models
- Working experience on Market Risk Model development and deep understanding of FRTB, Basel III Endgame, CCAR, RWA, and Capital Requirements
- Working ability in Python, C++, and SQL
