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Tier one investment bank is expanding its Model Development group which focuses exclusively on credit derivatives and products. The team is responsible for the design, modeling, and implementation of best-in-class credit derivative pricing models. The coverage includes CDOs, CLOs, CDS, and Corp Bonds. They are seeking a highly quantitative and technical individual with experience in these products.
You will be responsible for the full spectrum of model development including research, design, prototyping, implementing, as well as on-going maintenance and monitoring for these derivatives models. Stakeholders include Front Office and other Model Risk teams.
Research, design, prototype, and implement Credit Derivative pricing models
Ensure that these state-of-the-art models are driven by high-quality market data
Improve on existing models and ensure compliance with regulatory initiatives and other risk management stakeholders
Work closely with Front Office and model validation teams
Ph.D. or M.S. in a quantitative discipline (mathematics, finance, physics, engineering, etc.)
2-5 years in a model development or quantitative model validation function
Experience with credit derivatives and products strongly preferred
Technical expertise in C++ or Python, machine learning experience is a plus
Excellent verbal and written communications
Internal Number: 2734613
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