Counterparty Risk Analytics - Quantitative Analyst
Team : Counterparty Risk Analytics is responsible for developing and maintaining methodologies to calculate counterparty credit risk exposures of OTC derivatives, Exchanged-Traded derivatives and Security Financing Transactions. The models are used for advanced Basel regulatory capital calculations, stress testing, and internal risk management measures. Responsibilities :
Support the regulatory stress testing including supporting multiple work streams related to RWA forecasting, CVA calculations and stress testing of financing products.
Automation of the work related to regulatory stress testing, & documenting the workflow.
Provide comprehensive analytical support to all model stakeholders.
Enhance counterparty credit exposure simulation, pricing, and margin/aggregation models for derivatives products, covering all major asset classes.
Perform rigorous model testing as part of new model development and enhancement of existing models.
Contribute model prototype and testing code to the team's codebase, as well as to facilitate implementation of such models with the Risk IT.
Qualification :
Minimum of Master's degree in a quantitative field (statistics, mathematics, financial engineering computer science, etc.) with at least 2 years relevant experience
Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Master's degree, CPA or CFA
Strong knowledge of Algebra, Numerical Methods, Probability/Statistics and Stochastic Calculus.
Working knowledge of Python including Numpy and Pandas is essential.
Knowledge of Quant Finance foundations is a strong plus.
Good verbal and written communication is very important.
Work is primarily in the regulatory stress testing. It would include writing code, debugging, testing and validation of the results. Ability to perform data analysis, present the analysis using nice graphics and ability to present is crucial. Job Family Group: Risk Management
Job Family: Risk Analytics, Modeling, and Validation
Time Type: Full time
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