Job Description
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 quantitative risk analysis to support daily counterparty credit risk management. Responsibilities:
· Develop and implement analytics for counterparty credit risk management.
· Build infrastructure to consolidate counterparty credit risk models across systems.
· 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.
· Assess the methodologies and processes to 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), and strong data handling skills in SQL.
· Excellent written skills (ability to produce well-structured model documentation).
· Knowledge of Numerix and/or Bloomberg a plus.