An International Investment Bank is seeking a Quantitative Counterparty Risk Specialist to work directly with Cross-Asset Prime Brokerage Sales, Trading, and Risk teams.
This individual will design, develop, and enhance counterparty risk models 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, stress scenario design and expansion, collateral requirements, and trading agreements for the multi-asset derivatives portfolios.
- Develop and enhance PFE, IM/SIMM, and stress testing models and analytics
- Collaborate with front office Prime Brokerage teams to explain business impact of exposures and trading limits
- Design risk models for new product releases and research inherent risks for the front office
- Advise front office and senior management and develop strategies to mitigate concentration risk and exposures in the portfolio
- Assist in negotiating ISDA master agreements, CSAs, and other trading documents with trading counterparties
- Master's Degree in a Quantitative Discipline
- Cross-Asset product knowledge (equity, fixed income, listed and OTC derivatives, securities financing)
- Experience with equity derivatives strongly preferred
- 3+ 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