VP - XVA Model Risk

5 days ago


new york city, United States Selby Jennings Full time

A tier 1 American Investment Bank is looking to bring on a VP level candidate to join their Model Risk team covering XVA and Counterparty Risk Models

This individual will be responsible for performing model validation duties across a range of XVA models including pricing and risk models across a broad range of asset classes. This individual will be exposed to Equities, Rates, FX, Commodities, and OTC derivatives.

The ideal hire will have 5+ years working in a XVA/Counterparty Risk model validation function, with exposure to a range of traded asset classes. The ideal candidate will have hands on experience in Python, C++, R, or SQL and a higher level degree in a Mathematical function.

Responsibilities:

  • Research and test XVA, derivatives pricing and Counterparty Risk models across a range of asset classes
  • Perform ad-hoc model analysis as required
  • Work closely with XVA Traders and front office quant development team to mitigate issues in pricing and risk models
  • Design new benchmark models to monitor performance

Qualifications:

  • 5+ years in a Quantitative risk function, market risk, model validation, risk analytics, quant modelling
  • Exposure to Derivatives Pricing, XVA, and Counterparty Risk Models
  • Working knowledge of a range of asset classes (Equities, Rates, FX, Fixed Income, Commodities, OTC Derivatives)
  • Masters or Phd degree
  • Working Ability in Python, C++, R, or SQL

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