Quantitative Analyst for Counterparty Credit Risk
4 days ago
About This Opportunity
We are seeking a Senior Manager, Counterparty Credit Risk Measurement to join our team. As a key member of the Market Risk Measurement (MRM) team, you will play a critical role in developing and implementing advanced analytics and risk models.
About the Role
This is an exciting opportunity to work with a diverse group of quants, data scientists, and developers on high-profile projects involving Potential Future Exposure (PFE), Internal Model Method (IMM) capital, and XVA calculations. You will design and implement algorithms and models for the CCR Monte Carlo/Historical Simulation engines, which measure PFE, IMM capital, and XVAs.
Your Key Responsibilities
- Develop and maintain complex models and algorithms for counterparty credit risk measurement
- Work closely with model users, trading desks, trade floor risk management, and business lines to enhance models and ensure correct use of models
- Participate in high-profile projects involving PFE, IMM capital, and XVA calculations
- Design and implement processes in Unix/Linux Environments for computations of CCR measures
Requirements
To be successful in this role, you will need:
- A solid quantitative background and problem-solving skills with a keen interest in Finance, Economics, Derivatives, Risk Management, and Regulations
- Advanced degree in mathematics, economics, or scientific discipline (e.g., Mathematics, Finance, Statistics, Physics, Engineering, Biology, Economics)
- Python programming and working in Unix/Linux Environment are essential
- Knowledge of industry-wide methods for CCR calculations and/or experience with CCR management
- Effective communication and specifically the ability to summarize complex ideas in simple terms
What We Offer
In return for your expertise, we offer a competitive compensation and benefits package, as well as opportunities for professional development and growth within our organization.
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