Corporate and Private Bank Strat
Core
Design scalable front office pricing and risk management systems for corporate and private banking, focusing on funding costs, capital efficiency, and resource allocation.
Role type
Senior quantitative analyst (pricing and risk management)
Builds
Scalable front office pricing and risk management systems
Domain
Banking (Corporate and Private Bank)
Deliverable
production ML models | product features
Required skills
Quantitative analytics, C++ programming, Python programming, funding cost modeling, capital efficiency management, credit risk modeling, interest rate risk modeling
Preferred skills
Understanding of banking markets, portfolio funding models
Technologies
C++, Python
Responsibilities
Model and manage funding costs and funds transfer pricing, price deposits and loans based on funding costs, design incentive structures for financial resource consumption, drive alignment across Front Office and Credit Risk Management, assist in building and calibrating credit risk capital models, provide trading desk expertise in quantitative analytics and portfolio management
