Senior Quantitative Risk Analyst
3 days ago
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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