Quantitative Modeling Lead [Multiple Positions Available]
About The Position
Act as a "Subject area expert" for Central Counterparty (CCP) quantitative related issues. Create models and tools to assess adequacy of CCP margin requirements of cleared derivatives. Develop models and tools to support the evaluation of the efficacy of risk frameworks. Develop statistical models and tools for the assessment and management of counterparty credit risk. Design and implement software framework for counterparty credit risk in Python/R, delivering results through dashboards. Partner with control teams for ongoing model and risk governance. Engage tech partners to deploy the models to traders' desktops.
Requirements
- Bachelor's degree in Electronic Engineering, Business, Finance, or related field of study plus 6 years (72 months) of experience in the job offered or as Quantitative Modeling Lead, Quant Analytics Manager, Model Risk Program, Qualitative Model Review, Tech Sales Specialist, Counterparty Risk Lead, or related occupation.
- 4 years of experience with working with a large Bank or Hedge Fund
- 4 years of experience with developing advanced quantitative models using Python or R programming languages.
- Building or reviewing quantitative models of Counterparty Credit Risk, including CCAR and margin models
- statistical, econometric and simulation based modelling techniques, including regression models, copula models, and PCA based models
- building or reviewing Market Risk, Liquidity Risk and Credit Risk models, specifically applying Stress (Scenario) Analysis and Value-at-Risk techniques
- data manipulation tools and techniques, including SQL
- Excel based model development
- Analytics products, solutions, and platforms.
Responsibilities
- Act as a "Subject area expert" for Central Counterparty (CCP) quantitative related issues.
- Create models and tools to assess adequacy of CCP margin requirements of cleared derivatives.
- Develop models and tools to support the evaluation of the efficacy of risk frameworks.
- Develop statistical models and tools for the assessment and management of counterparty credit risk.
- Design and implement software framework for counterparty credit risk in Python/R, delivering results through dashboards.
- Partner with control teams for ongoing model and risk governance.
- Engage tech partners to deploy the models to traders' desktops.
Benefits
- competitive total rewards package including base salary determined based on the role, experience, skill set, and location
- discretionary incentive compensation which may be awarded in recognition of individual achievements and contributions
- comprehensive health care coverage
- on-site health and wellness centers
- a retirement savings plan
- backup childcare
- tuition reimbursement
- mental health support
- financial coaching
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What This Job Offers
Job Type
Full-time
Career Level
Mid Level
Number of Employees
5,001-10,000 employees
