Responsibilities

• Development, testing, documentation, and maintenance of counterparty credit risk models including pricing models, aggregation models, risk factor simulation models, as well as back testing methodology.
• Support of the counterparty credit risk platform, including investigation and resolution of model-related system issues and practical quantitative support to model users.
• Partner with internal groups including Capital, Risk, Technology, Model Risk Management and Market Risk Management on model enhancement, performance testing and documentation to remediate internal and external requirements.
• Work in quantitative modeling on fixed income and/or commodity products on behalf of a global financial institution
• Identifying common themes across global markets along with improvement initiatives, and communicating the results of this analysis to all model stakeholders including risk management, model development, model risk, senior management and our regulators
• Supporting model development in confirming remediation of model issues prior to their being taken live

Qualifications

• Master's degree or PhD required (preferably in Mathematics, Statistics, Physics or related field)
• 2+ years experience working in quantitative modelling on fixed income or commodity products on behalf of a global financial institution.
• Experience with mathematically sophisticated financial modelling, preferably in counterparty credit risk or XVA
• Programming skills: key languages are C++ and Python; a solid understanding of sound software development principles
• Knowledge of industry developments and trends, a commercial instinct, and an understanding of risk management principles.
• Excellent written and oral communication, interpersonal and organizational skills and ability to create and maintain relationships with personnel across areas and regions