Model/Anlys/Valid Officer

Master’s degree, or foreign equivalent, in Financial Engineering, Applied Mathematics, Statistics, Data Science, or a related field
Two (2) years of experience in the job offered or in a related quantitative occupation developing and implementing models within the financial industry
Modeling sources and mitigants of Counterparty Credit Risk
Working with financial derivatives and pricing methods to recognize their risk factors and evaluate their risk profiles and pricing performance characteristics
Utilizing Numerical Methods and applying Statistical Analysis to design counterparty risk simulation models and to evaluate their out-of-sample performance
Using Python and C++ to write efficient and clean production-grade code and working with source control management systems to contribute such code into quantitative libraries developed jointly
Working with parallel computing techniques to design scalable CPU-intensive applications for numerical and statistical analysis on enterprise-scale volume of financial transactions

Develop and implement quantitative models of Counterparty Credit Risk (CCR)
Simulate stochastic market factor evolution across multiple asset classes
Integrate derivatives pricing libraries for use in the simulated market context
Evaluate counterparty exposure profiles generated by derivative portfolios and model the effect of collateral exchange between counterparties
Conduct ad-hoc exposure investigations for existing portfolios and prospective trades
Drive the effort on implementation of completed model enhancements for production
Maintain and update model documentation and liaise with Risk Management, Model Risk, and Finance teams to facilitate timely model validation, approval, and production releases
Develop appropriate mathematical framework to address limitations, non-modeled risk, and other deficiencies in the models in response to internal, business, risk management, or regulatory findings
Identify, evaluate, and report on the nature, purpose, and expected impact of changes introduced to the models
Produce prototype implementations to be used throughout the model lifecycle
Evaluate impact of pricing model changes on major CCR metrics
Enhance and support periodic upgrades of the Front Office Integration derivative pricing models
Review changes in Front Office pricing models, categorize, design, and assign appropriate model testing, conduct such testing, and document the results

No preferred qualifications provided.