Senior Quantitative Model Analyst - Counterparty Credit Risk Modeling
Core
Develop, enhance, and maintain counterparty exposure models for derivatives, prime brokerage, and securities financing to measure Potential Future Exposure (PFE) and Expected Exposure (EE).
Role type
Senior quantitative model analyst (counterparty credit risk)
Builds
Monte Carlo simulation frameworks and derivative valuation models for trading, prime brokerage, and securities financing businesses
Domain
Financial services / Counterparty Credit Risk
Deliverable
production ML models
Required skills
Derivative pricing, Monte Carlo simulation, stochastic processes, Python, C++, quantitative risk modeling, model validation, regulatory compliance
Preferred skills
Master's or PhD in quantitative field, 5+ years in quantitative modeling/research, deep understanding of financial markets and derivative products
Technologies
Python, C++, Monte Carlo simulation
Responsibilities
Research, design, develop, test, and maintain counterparty exposure models; Develop methodologies for PFE and EE metrics; Perform model monitoring, benchmarking, backtesting, and sensitivity analysis; Partner with trading desks and risk managers; Collaborate with Model Risk Management and regulators; Prepare technical documentation; Present risk analytics to senior management
Seniority
Senior, hands-on IC