C++ Model Risk Lead Developer

new york, New York

You will be joining a team responsible for developing and supporting models to quantify and manage counterparty and funding risks. This group is also responsible for margin modeling as well as credit risk capital calculation.

Responsibilities:

  • Lead the development and support of CVA and FVA models.
  • Manage a team of 2 to 3 people.
  • Design and implement new cutting-edge, cross-asset, counterparty and funding risk simulation models as well as enhance the existing library.
  • Help on-board new products into the counterparty risk valuation framework.
  • Liaise with technology teams in order to build out risk management systems and front end tools.
  • Ensure clear documentation and testing of models

 

Qualifications

  • Applied quantitative research and implementation in financial derivatives.
  • At least a few years of managing/leading a team of quant modelers/developers.
  • PhD or MS degree in Math, Math Finance, Physics, Computer Science, Engineering or similar.
  • Deep understanding of probability theory, stochastic processes, PDEs, and numerical methods.
  • Excellent analytical and problem solving abilities.
  • Extensive C/C++ coding experience
  • Excellent communication skills (written and verbal). Team work oriented.

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