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Quantitative Developer - VP

  • Job type: Permanent
  • Location: New York
  • Salary: 140K+
  • Job reference: KO234
  • Sector: Banking and Finance, Quantitative Finance, Selby Jennings
  • Date posted: 25/07/2017
A Global Investment bank has an urgent opening in their Wholesale Credit Risk and Analytics team at the Vice President level. The team focuses on the design, implementation, delivery and support of models for the firm's Wholesale Credit Stress (CCAR, ICAAP, Risk Appetite) and Loan loss reserves models. In particular, for this role, the team focuses on the development, delivery, and maintenance of high-performance analytics frameworks and libraries. The ideal candidate will have excellent quantitative exposure and a sharp business acumen to help drive innovation.

Responsibilities:
  • The successful candidate will work on the design and implementation state of the art forecast and valuation models in Wholesale Credit.
  • Be responsible for development and support of our valuation and forecasting modeling frameworks and their delivery via our library.
  • Focus will be on the end-to-end analytics infrastructure aspects.
  • Work with technology and the business on the implementation and integration of models into the firms delivery platforms
  • This position will require the candidate to work with other experienced modelers and business partners to enhance quantitative as well as business skills. 
Qualifications:
  • Knowledge of Wholesale Credit, CCAR, Allowance (IFRS 9/CECL), Basel II/III regulatory capital
  • Ph.D or MS in a numerate subject (e.g. Applied Math, Physics, Computational Biology, Engineering, Math Finance, etc)
  • Excellent quantitative programming skills in Python; C++ a plus
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