Risk Analytics - Counterparty Credit Risk Quantitative Analyst

Midtown, NYC

Location: Midtown, NYC - Hybrid, 3 days on-site

Duration: 6+ months rolling

Rate: W2 $875 - $1015 /day and C2C $975 - $1140 /day

Description:

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 3-5 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.

W2 $875 - $1015 /day and C2C $975 - $1140 /day