VP, MPE Modeler / Counterparty Credit Risk Quantitative Analyst

Jefferies; Jersey City (NJ); On-site; USD 130,000 - 190,000; Full time

Job summary

An established industry player is seeking a Quantitative Specialist to enhance counterparty credit risk models. This pivotal role involves developing analytics, building infrastructure, and conducting quantitative research to refine and validate models. The successful candidate will collaborate across teams, ensuring robust risk management strategies while leveraging advanced programming skills in Python and SQL. Join a dynamic environment where your expertise will directly influence financial stability and innovation, making a significant impact on the firm's risk analytics capabilities.

Qualifications

• 5-7 years of experience in counterparty credit risk modeling.
• Strong programming skills in Python and SQL for data handling.

Responsibilities

• Develop and implement analytics for counterparty credit risk management.
• Conduct analysis on existing model shortcomings and design remediation plans.

Skills

Quantitative Analysis

Risk Management

Python Programming

SQL

Project Management

Analytical Skills

Education

Master's Degree in Quantitative Subject

PhD Degree

Tools

Numerix

Bloomberg

Job description

Direct message the job poster from Jefferies

Head of Corporate (Non-IT) Lateral Recruiting, Americas

Risk Analytics – counterparty credit risk quantitative analyst

Quantitative specialist for developing and managing analytics for counterparty credit risk models. Candidate will join the Risk Analytics group that partakes in model development over the full life-cycle of modes: from methodology to design to local implementation and validation. The successful candidate will also provide analysis and feedback on changes to or introduction of new models at the firm.

Responsibilities

• Develop and implement analytics for counterparty credit risk management.
• Build infrastructure to consolidate counterparty credit risk models across systems.
• Create and execute strategies to minimize risk based capital required by regulation.
• Perform quantitative research to implement model changes, enhancements and remediations.
• Work with stakeholders across business and functional teams during model development process.
• Create tools and dashboards which can enhance and improve the risk analysis.
• Conduct analysis on existing model short-comings and design remediation plans.
• Maintain, update and back-test risk models.
• Assess the methodologies and processes used by modeling teams to develop and manage their models, and identify potential weaknesses and the associated materiality of the risk

Qualifications

• At least a Master’s Degree in quantitative subject; PhD Degree is a plus.
• Deep understanding of pricing and risk calculations for financial derivatives.
• Strong analytical skills required to understand quantitative models, and to translate that understanding into sustainable library design, code development and integration into IT systems.
• At least 5-7 years of experience in counterparty credit risk modeling.
• Strong project management and organizational skills.
• Proficient programming skills in python (other languages such as R is a plus).
• Strong programing skills and data handling skills in SQL and R/Python (ability to wrangle large data sets, implement statistical tests, and perform data analysis on test results).
• Excellent written skills (ability to produce well-structured technical model documentation).
• Knowledge of Numerix and/or Bloomberg a plus.

Primary Location Full Time Salary Range of $130,000 - $190,000

Seniority level

• Seniority level

  Mid-Senior level

Employment type

• Employment type

  Full-time

Job function

• Job function

  Other and Finance

• Industries

  Investment Banking

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