Quantitative specialist for developing and managing analytics for counterparty credit risk models. Candidate will join the Risk Analytics group that partakes in model development over the full life-cycle of modes: from methodology to design to local implementation and validation. The successful candidate will also provide analysis and feedback on changes to or introduction of new models at the firm.
Responsibilities
Develop and implement analytics for counterparty credit risk management.
Build infrastructure to consolidate counterparty credit risk models across systems.
Create and execute strategies to minimize risk based capital required by regulation.
Perform quantitative research to implement model changes, enhancements and remediations.
Work with stakeholders across business and functional teams during model development process.
Create tools and dashboards which can enhance and improve the risk analysis.
Conduct analysis on existing model short-comings and design remediation plans.
Maintain, update and back-test risk models.
Develop Risk Analytics platform.
Assess the methodologies and processes used by modeling teams to develop and manage their models, and identify potential weaknesses and the associated materiality of the risk
Qualifications
At least a Master's Degree in quantitative subject; PhD Degree is a plus.
Deep understanding of pricing and risk calculations for financial derivatives.
Strong analytical skills required to understand quantitative models, and to translate that understanding into sustainable library design, code development and integration into IT systems.
At least 3-5 years of experience in counterparty credit risk modeling.
Strong project management and organizational skills.
Proficient programming skills in python (other languages such as R is a plus).
Strong programing skills and data handling skills in SQL and R/Python (ability to wrangle large data sets, implement statistical tests, and perform data analysis on test results).
Excellent written skills (ability to produce well-structured technical model documentation).