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The Candidate will be asked to create a new Counterparty Risk and Margin team that assesses the firm's risk exposure to trading counterparties
Will work closely with senior risk managers to incorporate current market conditions into analyzing the risk profile of the firm's counterparties
The Candidate will conduct stress tests of the firms and client's portfolio's, make risk assessments and make presentations to senior risk managers.
The Candidate will be asked to create analytics on new products that the firms high net worth and prime broker clients may be involved with: including knowing where to find market data, market liquidity and market fundamentals
Manage a Market Risk team that is involved in the full life cycle of model development including model design, technical implementation and model integration.
Provide subject matter expertise on the latest risk methodologies across all asset classes
Must have a quantitative PhD
Must have 10 years of market risk and counterparty risk modeling for a major bank or exchange
Must have deep understanding of market risk models and methodologies: And one or more of the following: VaR, CVA, PFE, EPE, statistical analysis, derivative valuation and stress testing.
Must have advanced SQL and data analytic skills
Must have advanced Python skills to prototype models and statistical programming skills (R, Matlab)
Preference will be given to candidates with experience modeling fixed income, FX and related derivative products.
Must have superior oral and written communication skills
Keywords: Prime Brokerage, Quantitative Modeling, PhD, FX, Swaps, Rates, Margin Models, Derivatives Pricing Models, Counterparty Risk, Life Cycle Model Development, C++, Market Risk
Please refer to Job #22669 - and send MS Word attached resume to firstname.lastname@example.org