Senior Quantitative Model Analyst - Counterparty Credit Risk Modeling
Core
Develop, enhance, and maintain counterparty exposure models for derivatives, prime brokerage, and securities financing to support the bank's trading and risk management frameworks.
Role type
Senior quantitative model analyst (counterparty credit risk)
Builds
Production models for Potential Future Exposure (PFE) and Expected Exposure (EE) across interest rate, FX, equity, and commodity derivatives
Domain
Banking / Counterparty Credit Risk / Derivatives
Deliverable
production ML models | product features
Required skills
Derivative pricing, Monte Carlo simulation, stochastic processes, counterparty exposure modeling, Python, C++, quantitative risk modeling, model validation, backtesting, sensitivity analysis
Preferred skills
Master's or PhD in quantitative field, 5+ years in quantitative modeling/research, deep understanding of financial markets and prime brokerage activities
Technologies
Python, C++
