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.


  • 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



  • 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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