Associate, Counterparty Credit Risk Modeling
About The Position
We are seeking a highly motivated and detail-oriented Associate to join the Counterparty Credit Risk (CCR) Analytics team. This role will lead model ongoing monitoring, BAU support, and ad-hoc analyses, while driving enhancements in data quality, model calibration and production controls. This role will also support the development and continuous enhancement of CCR models. This role offers substantial opportunities to gain hands-on experience with the CCR analytics framework, derivatives and SFT valuation methodologies, and broader enterprise risk management practices. This role requires a strong quantitative and analytical background and ability to develop effective modeling solutions to complex business problems.
Requirements
- PhD or Master’s degree in Financial Engineering, Mathematics, Computer Science, Statistics, or a related quantitative field.
- 2–5 years of experience in counterparty credit risk, xVA or market risk modeling.
- Knowledge of capital markets, derivatives products, SFT products, and related valuation methodologies.
- Strong understanding of CCR concepts (PFE, EPE, collateral, netting) and regulatory requirements.
- Strong analytical, problem-solving and communication skills.
- Proficiency in statistical programming languages (e.g. Python, SQL), and data visualization tools (e.g. Power BI) etc.
- Ability to manage multiple priorities and work effectively in a fast-paced and collaborative environment.
Nice To Haves
- Professional certifications (e.g. CFA, FRM) are a plus.
Responsibilities
- Assist in the development and enhancement of PFE methodologies for both existing and new products.
- Perform model calibration and ongoing monitoring activities, including root-cause analysis of breaches and the development of remediation actions.
- Perform BAU support and ad-hoc analyses to investigate production issues, partnering with IT to implement remediation solutions.
- Participate in UAT and collaborate with IT and data teams to support new business initiatives and system enhancements.
- Work closely with model validation group on model changes and remediation efforts to address validation findings.
- Partner with risk officers, risk reporting and other stakeholders to enhance the overall CCR framework and strengthen risk management practices.
Benefits
- Competitive portfolio of benefits
- Annual discretionary incentive award
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What This Job Offers
Job Type
Full-time
Career Level
Mid Level
