Major Responsibilities:

• Model coverage for Rates/Foreign Exchange/Fixed Income valuation models, XVA, SIMM, and Market Risk methodologies
• Participate/lead in the development of models across all phases of the project lifecycle from analysis to methodology to technical implementation
• Ensure models comply with the model risk management framework (model documentation, performance monitoring, model enhancements, etc.)
• Quantitative liaison for the regulatory reviews of market risk and valuation models
• Interface with market risk managers and front-office Sales & Trading to understand quantitative requirements and enhance models as needed
• Evaluation of new products from a market risk quantitative perspective Qualifications:

The right candidate will have:

• Bachelors/Masters in a quantitative discipline, such as Quantitative Finance, Computer Science, Statistics, Engineering, or Mathematics
• 5-7 years of relevant experience in a quantitative, or risk management function
• Strong analytical skills and knowledge of quantitative risk models, financial engineering, and derivative valuation techniques
• In-depth knowledge of market and/or credit risk analytics, including VaR, stress testing, CVA/FVA, and SIMM
• Strong quantitative and programming abilities (C, C++, C#, VBA, Matlab, SQL, Java, etc.) • Ability to write technical documentation
• Excellent communication and writing skill