Model Development_Counterparty Credit Risk

About the role

Risk Analytics Group (RAG) is a specialized area within the Risk Department, responsible for Market Risk Models, Capital Models, Counterparty Exposure Models, Portfolio and Credit Models, and Initial Margin models. The team members have strong quantitative skills and the team head reports to the regional and global Chief Risk Officer.

What you'll do

• Support the development, maintenance, and continuous enhancement of counterparty exposure models
• Develop analytical methodologies and model enhancements to improve the accuracy, robustness, and efficiency of exposure measurement
• Design and execute model testing and validation analyses, including assessment of model assumptions, methodology, implementation, and performance
• Investigate model issues and limitations, identify root causes, and recommend appropriate remediation or enhancement activities
• Specify, test, and support the implementation of system and model changes required to deliver model improvements

What you need

• 4–7 yrs of experience
• Credit risk
• Market risk
• Capital markets
• Excel
• Risk management
• VBA
• CFA

Good to have

• CFA
• Valuation
• C#
• C++
• Python
• R