Quantitavtive Risk

New York, NY
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Masters degree or PHD in quant

expertise in coding C and Python

Risk Management full model development cycle,

A senior quantitative developer is needed to assist with continuing integration of Front Office Pricing models in CCR exposure calculations. The role's focal point will be the further development of Client's CCR framework by supporting the inclusion of new products and the associated pricing models, across asset classes such as commodities.

Key Responsibilities:

Contribute to the integration of new derivatives products into the counterparty credit risk framework;

Conduct data analysis

Develop model and integration code (C /python) based on provided specifications

Conduct performance testing of new products;

Prepare model documentations to high standards;

Support model risk management process, i.e. provide ad hoc analysis to justify modelling assumptions and/or test results;

Qualifications and Competencies:

Master's degree/PhD in a quantitative discipline

5 year's experience in a quantitative role with sell side institutions

Experience with developing and testing libraries in C and Python on Linux and Windows platforms

Good understanding of financial products and markets

Experience working with technology teams on model implementation

Strong written, verbal, and interpersonal communication skills

Works well under pressure and in tight deadlines

Experience in the whole model development cycle, i.e. mathematical proposal, prototyping, documentation, validation, approvals from senior stakeholders, release to production, would be a plus.

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