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Front Office Model Validation - VP/Director

Date: 11 Jan 2017
Location: United States, New York
Salary: 170,000 - 240,000$ per Annum
My client a top tier bank is looking to add senior level quantitative risk modeler to their counterparty credit risk analytics team.  This is a growth hire and for the right candidate will offer the opportunity to manage projects as well as direct reports right away.  This group interacts will multiple other areas of the business and is full of some of the industry’s top quants.

Some of the main responsibilities of this role include
  • Developing calibration methodologies
  • Developing and testing pricing models
  • SME on Counterparty Credit Risk
  • Working with multiple areas of the business to implement the models
  • Work along side the model validators
  • Interact with regulators

Required Qualifications:
  • 7+ years of experience in quantitative risk modeling
  • Ph.D. in Mathematical field with a stochastic calculus/process background
  • Excellent communication skills
  • Expertise in CCR modeling
  • Extensive derivatives experience
  • Strong programming skills specifically in C++
  • Hands on experience with quantitative risk measures (IMM, PFE, EPE)
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