Responsibilities
1. Design and implement methodologies to identify model limitations across various financial products, including by testing the appropriateness of model assumptions and conducting sensitivity analysis.
2. Implement models in production using sophisticated software and object-orientedputer languages, including develop aprehensive software code to execute the model in production environment, design tests to ensure the accuracy of implementation, and test for the continuous functioning of the models.
3. Developprehensive documentation of processes and models covering purpose, specifications, testing description, and empirical evidence.
4. municateplex mathematical ideas with internal / external stakeholders such as regulators, modelers, technology, and senior management.
5. Lead regulatory engagements in the area of counterparty credit risk model performance, including discussions of model performance, suitability of measurement approaches, and results with the regulators.
6. Provide supervision and quantitative / technical guidance to more junior risk management professionals, and take on leadership opportunities on department-wide initiatives.
7. Recruit and train new members of the Risk Architecture team.
How you will fulfill your potential
8. Broad exposure to pricing, calibration, risk, and capital models for a variety of financial products.
9. Exposure to challenging quantitative problems such as modeling of derivatives and large scale Monte' Carlo simulations ofplex portfolios across the firm.
10. Opportunities to work closely with leadership and with other groups across the firm to drive forward high priority initiatives.
11. Dynamic teamwork environment.
Qualifications
12. Advanced degree (PhD preferred) in a quantitative field such as Mathematics, Statistics, Physics, or a related quantitative field.
13. Holders of, degrees with relevant technical work experience will also be considered. Must have excellentmand of mathematics, modeling and numerical algorithms.
14. Experience in a counterparty credit risk backtesting function of a regulated financial institution.
15. Deep knowledge of advanced probability and statistical methods, including stochastic processes.
16. Strong written and verbalmunication skills.
17. Proven ability to perform analysis and problem-solve usingputational tools.
18. Self-motivated team player.
Job ID 300006122084963