Our client, a major Investment Bank, based in New York is looking for multiple senior/junior quantitative finance analysts in the Counterparty Model Risk Management team. The group is a multi-national team within Enterprise Model Risk Management. It covers all aspects of model validation and model risk of front office Credit/Funding/Capital Value Adjustment (XVA) models, initial margin (IM) models including ISDA Standard Initial Margin Model (SIMM), and counterparty credit risk (CCR) models including counterparty Internal Method Models (IMM). The team covers cross asset classes of over-the-counter derivatives for XVA/IM/CCR/IMM calculation ranging from interest rates, FX, commodity, inflation, equity, credit and collateral modeling.
Candidate will work closely with model developers from Quantitative Strategy Group and Global Risk Analytics, as well as trading and control functions such as Finance/PVG & various other risk management groups.
The ideal candidate will have the following qualifications:
PhD in quantitative fields such as mathematics, statistics or equivalent
In depth understanding of financial mathematics including stochastic differential equations, probability theory, statistical analysis, interest rates and credit risk modeling.
Well organized, detail-oriented with good communication skills (both written and verbal)
Strong coding ability in R , Python and C++ is a plus
5y work experience is required in quantitative modeling and/or validation in one of the following areas XVA/IM/CCR/IMM or Value at Risk models