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Counterparty Model Validation VP

  • Job type: Permanent
  • Location: Charlotte
  • Salary: $150000 - $200000 per annum
  • Job reference: CPMV
  • Sector: Banking and Finance, Selby Jennings, Risk Management
  • Date posted: 24/01/2018
Counterparty Credit Risk Quant Model Validator

My client a top tier bank is looking to add senior level quantitative risk analyst to their counterparty credit risk model validation team.  This is a growth hire and for the right candidate will offer the opportunity to manage projects and influence junior candidates.  This group interacts will multiple other areas of the business and is full of some of the industry’s top quants.

Some of the main responsibilities of this role include
  • Developing calibration methodologies
  • Validate and testing pricing models
  • SME on CCR 
  • Validate CVA/IMM models 
  • Working with multiple areas of the business to implement the models
  • Interact with regulators

Required Qualifications
  • 5+ years of experience in quantitative risk modeling
  • Ph.D. in Mathematical field with a stochastic calculus/process background
  • Excellent communication skills
  • Expertise in CCR and CVA model validation
  • Extensive derivatives experience
  • Strong programming skills specifically in C++
  • Hands on experience with quantitative risk measures (IMM, PFE, EPE)
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