Quantitative Finance Analyst
Core
Conduct quantitative analysis for counterparty credit risk (CCR) in Global Markets, managing limit frameworks, stress testing, and regulatory reporting.
Role type
Quantitative Finance Analyst (Counterparty Credit Risk)
Builds
Counterparty limit frameworks, stress test scenarios, risk analytics, and management reporting for Global Markets.
Domain
Financial Services / Counterparty Credit Risk
Deliverable
production ML models | dashboards & analysis | client delivery
Required skills
Derivative products knowledge, Counterparty credit risk measurement, Stress testing, Risk analytics, Regulatory reporting, Model performance monitoring
Preferred skills
Risk management, Data modeling, Technical documentation
Technologies
N/A
Responsibilities
Manage counterparty stress-based concentration limit frameworks across asset classes; Perform BAU CCR stress testing including scenario design and result analysis; Partner with Credit Officers and Sales & Trading on limit calibration and trade approvals; Lead sector-specific CCR portfolio reviews and deep dives on counterparties; Develop and maintain risk analytics and Points of Weakness measures; Represent CCR in regulatory exams and address findings; Monitor CCR model performance and challenge GRA to enhance models.
Seniority
Mid-level, hands-on IC