We are currently partnered with a growing international investment bank in NYC looking to add a strong quantitative VP talent within their Risk Analytics Group. The group is focused on developing counterparty credit analytics across product lines for the business's US operations. They work on full cycle model development from design to implementation.
This hire will be expected to be hands in with building tools and analytics focused on counterparty credit risk models. You will also work on improving analytics to enhance their existing counterparty credit risk model infrastructure, and advise on any changes to new counterparty risk models at the firm. You will lead all risk analytics and initiatives for counterparty credit risk models, specifically working in EPE and PFE models, covering Interest Rates, FX, Equities, Credit, XVA, SA-CCR.
Respobsibilities:
- Develop risk analytics for counterparty credit risk exposure models
- Enhance existing counterparty credit risk model infrastructure across asset classes
- Quant research in support/implementation of model changes, enhancements, and remediation
- plans
- Work with model development stakeholders across product lines
- Build analytical tools that will enhance and improve counterparty exposure analysis
- Improve and update stress testing framework and analyze the results for remediation
- Design remediation plans for inefficient or incorrect counterparty credit risk models
- Act as an SME for regulators
Qualifications:
- 3-5 years in quant modeling for counterparty credit risk analytics
- In-depth understanding of counterparty exposure, valuation adjustments (XVA), Basel 3 credit
capital models. Exposure to market risk models - Stochastic calculus background, pricing, and risk models for derivatives
- Derivatives knowledge for fixed income, equity, credit
- Monte Carlo
- Python, Excel, Murex is a plus
- Communication skills to speak with managers with non-quant backgrounds
