Senior Quantitative Risk Analyst

3 days ago


New York, New York, United States Selby Jennings Full time

A leading investment bank in New York is seeking a skilled VP to join their Model Risk team covering XVA and Counterparty Risk Models.

The successful candidate will be responsible for performing model validation duties across a range of XVA models including pricing and risk models across various asset classes such as Equities, Rates, FX, Commodities, and OTC derivatives.

This role requires a minimum of 5+ years of experience working in a XVA/Counterparty Risk model validation function with exposure to traded asset classes. The ideal candidate should have hands-on experience in programming languages like Python, C++, R, or SQL, and a higher-level degree in a mathematical field.

Key responsibilities include:

  • Researching and testing XVA, derivatives pricing, and Counterparty Risk models across multiple asset classes
  • Performing ad-hoc model analysis as required by the business
  • Collaborating closely with XVA Traders and the front office quant development team to identify and mitigate issues in pricing and risk models
  • Designing new benchmark models to monitor performance

The ideal candidate will possess the following qualifications:

  • At least 5+ years of experience in a quantitative risk function, market risk, model validation, risk analytics, and quant modeling
  • Familiarity with Derivatives Pricing, XVA, and Counterparty Risk Models
  • Working knowledge of various asset classes (Equities, Rates, FX, Fixed Income, Commodities, OTC Derivatives)
  • Masters or Ph.D. degree
  • Proficiency in Python, C++, R, or SQL programming languages

We offer a competitive salary of approximately $160,000 per year, taking into account the location and industry standards.



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