Model Development_CounterParty Credit Risk
Core
Developing and maintaining counterparty exposure models (PFE, SIMM, xVA) for internal control limits and economic capital calculations across derivatives, repo, and securities lending.
Role type
Senior quantitative risk modeler (counterparty credit risk)
Builds
Production risk models and analytical methodologies for exposure measurement
Domain
Banking / Counterparty Credit Risk / Quantitative Finance
Deliverable
production ML models
Required skills
Python, R, Excel, VBA, derivatives pricing, probability theory, stochastic processes, stochastic calculus, model validation, system implementation
Preferred skills
C#, C++, Monte Carlo simulation, Expected Exposure (EE), Credit Valuation Adjustment (CVA), object-oriented programming
Technologies
Python, R, Excel, VBA, C#, C++
Responsibilities
Develop and enhance counterparty exposure models; Design and execute model testing and validation; Investigate model issues and recommend remediation; Specify and support system changes; Develop operational controls; Support stakeholders with exposure calculation queries; Prepare management reporting and governance materials.
Seniority
Senior, hands-on IC
