Sr. Quantitative Finance Analyst
Core
Develop, test, document, and maintain counterparty credit risk (CCR) models, including risk factor simulations, pricing models, and aggregation models for derivative portfolios.
Role type
Senior IC quantitative finance analyst (counterparty credit risk)
Builds
Quantitative models and tools for CCR, PFE, and IMM RWA for global financial institution portfolios
Domain
Financial services / Quantitative finance / Counterparty Credit Risk
Deliverable
production ML models
Required skills
C++, Python, Monte Carlo simulations, risk factor simulation, pricing models, backtesting methodology, model governance, fixed income modeling, commodity modeling
Preferred skills
CVA modeling, Internal Model Method (IMM) framework, model performance assessment
Technologies
C++, Python
Responsibilities
Develop and maintain CCR models; support the CCR platform and resolve system issues; improve model development infrastructure; partner with Capital, Risk, and Technology groups; communicate analysis results to stakeholders and regulators; confirm remediation of model issues before go-live.
Seniority
Senior, hands-on IC
