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Model Validation Quant – Counterparty Credit Risk / Market Risk

Apply2019-01-09 15:36:031970-01-01Henlow
HomeJobsModel Validation Quant – Counterparty Credit Risk / Market Risk
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Model Validation Quant – Counterparty Credit Risk / Market Risk

Date posted: January 9, 2019
New York, USA
Job description

Associate/VP level Quant Analyst t to join the Model Risk Group with focus on Counterparty Credit Risk and Market Risk models.

Strong C++ and financial maths required, and a focus on the practical delivery of working products to the business in a timely manner.


Model validation includes an evaluation of conceptual soundness; designing and conducting experiments to compare a model’s prediction against actual outcomes or against the output of alternative benchmark models; and designing and monitoring model performance metrics.

  • Good understanding of counterparty risk space and models used to compute CCR/Market Risk.
  • Deep understanding of risk models and their limitations, valuation under the risk-neutral as well as physical measures, hedging and risk management
  • Strong financial mathematics skills.
  • Strong C++ and programming experience
  • Strong interpersonal and communication skills (verbal and written).
  • Ability to work in a fast-paced environment.


  • Expanding modelling capabilities and implementation into the library
  • Maintaining and improving code base
  • Interacting with trading desk
  • IT and risk management.
  • Working independently to complete projects.

Academic Background:

  • MSc or PhD in a mathematical/Quant Finance subject.
  • Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

Our Client is a Tier 1 Investment bank

Reference: QA-19-06