Director - Counterparty Risk Quant Research
A leading Investment Bank in NYC is seeking a Director level, Quantitative Counterparty Risk Modeller to work directly with Trading, and Risk teams.
This individual will design, develop, and enhance counterparty risk models (PFE/EPE/XVA) and metrics for use in the front office. This is a hands-on quantitative modelling role, but communication with the front office is essential to explain pre-trade counterparty risks and limits for new products being developed and marketed.
Additionally, this role will be expected to research and implement new risk and margin methodologies, and models for stress scenario design and expansion.
Responsibilities:
- Develop and enhance PFE, EPE, IM/SIMM, models and analytics
- Collaborate with front office teams to explain business impact of exposures and trading limits
- Design and enhance models and frameworks for stress testing including scenarios for CCAR purpose
- Design risk models for new product releases and research inherent risks for the front office, define CCR methodology
- Advise front office and senior management and develop strategies to mitigate concentration risk and exposures in the portfolio
Qualifications:
- Master's or PhD in a Quantitative Discipline
- Cross-Asset product knowledge (equity, fixed income, listed and OTC derivatives, SFT)
- Experience in VaR/PFE/EPE and stress testing methodology
- 8+ years of counterparty credit risk model development or validation experience
- Strong communication skills to work with the front office
- Coding/Programming: Python, R, SQL, or comparable language
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