Team:
Counterparty Risk Analytics team is responsible for design of methodology of Counterparty Credit Risk exposure estimation for OTC cleared and non-cleared derivatives, exchanged-traded derivatives and security financing transactions. The models are used for advanced Basel regulatory capital calculations, stress testing, and internal risk management.
Responsibilities:
Enhance counterparty credit exposure simulation, pricing and margin models for derivatives products, with focus on interest rates and inflation.
Conduct rigorous analysis and testing as part of risk model development and enhancement.
Provide comprehensive analytical support to all model stakeholders including risk management and validation.
Contribute model prototype and testing code to the team's codebase, as well as to facilitate production implementation of the models.
Qualification:
PhD or MSc with at least two years of experience in a quantitative field.
Strong programming skills in Python are essential.
Understanding of derivative pricing fundamentals is required.
Knowledge of counterparty risk is a strong plus.
Good verbal and written communication is very important.
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**Job Family Group:**
Risk Management
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**Job Family:**
Risk Analytics, Modeling, and Validation
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**Time Type:**
Full time
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