VP, Counterparty Credit Risk Quantitative Analyst
Core
Develop and manage analytics for counterparty credit risk models focused on fixed income products including repos, security lend/borrow, mortgages, and interest rate derivatives.
Role type
VP, Counterparty Credit Risk Quantitative Analyst
Builds
Infrastructure to consolidate counterparty credit risk models across systems
Domain
Financial Services / Fixed Income / Counterparty Credit Risk
Deliverable
production ML models
Required skills
Counterparty credit risk modeling, Fixed income product pricing, Python, SQL, Model validation, Backtesting frameworks, Risk analysis
Preferred skills
Numerix platform, Bloomberg platforms, CQF Certification
Responsibilities
Develop and implement analytics to support counterparty credit risk management, Design and build infrastructure to consolidate models, Conduct quantitative research for model enhancements, Design and develop analytical tools and dashboards, Build and maintain model performance monitoring and backtesting frameworks, Assess methodologies to identify weaknesses and evaluate risk materiality
Seniority
VP, Strategy & Mentorship