girl looking into her desktop
Back to search results

Quantitative Finance Analyst - Counterparty & Credit Trading Models

Charlotte, North Carolina

Job Description:

The Model Risk Management team are looking for Quantitative Finance Analyst to join their established team in the Charlotte office. The candidate will be responsible for conduct model risk management for FO trading models covering credit products and structured notes valuation and risk management, margin models and counterparty credit risk models.

As part of model risk management activities, the team is working closely with model stakeholders for its covered models, including Front Line Units, model development teams, Market Risk, as well as Finance/PVG and other control functions.

Responsibilities will include but not limited to:

◾Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated


◾Perform independently testing to identify/quantify model risk associated with the model being validated


◾Prepare validation report and technical documents for the model being validated


◾Work closely with the model stakeholders (business, model developers, Market Risk, Finance/PVG and other control functions) with respect to compensating controls of the models and communication of validation outcomes


◾Maintain a sub-portfolio of model inventory and perform annual model reviews, ongoing monitoring reviews, Required Actions Items and Recommendations closure, etc.

The Team:


The Counterparty and Credit Trading Model Risk Management group is a multi-national team within Enterprise Model Risk Management. The team consists of over 30 members, primarily based in US, UK and India. It covers model risk management of Front Office (FO) pricing models for credit products and structured notes, Credit/Funding Value Adjustment (XVA) models, margin models, and counterparty credit risk (CCR) models including counterparty Internal Method Models (IMM).

Masters or PhD in quantitative fields such as mathematics, statistics, physics or equivalent

◾In depth understanding of financial mathematics including stochastic calculus and probability theory, as well as derivative pricing and risk models including interest rates and credit risk modelling.

◾Strong coding ability in C++, Python or R is a plus

◾Being critical thinking, intellectually curious, detailed-oriented, well-organized, quick learning and a team player with good communication skills (both written and verbal)

Job Band:

H5

Shift: 

1st shift (United States of America)

Hours Per Week:

40

Weekly Schedule:

Referral Bonus Amount:

0

Job Description:

The Model Risk Management team are looking for Quantitative Finance Analyst to join their established team in the Charlotte office. The candidate will be responsible for conduct model risk management for FO trading models covering credit products and structured notes valuation and risk management, margin models and counterparty credit risk models.

As part of model risk management activities, the team is working closely with model stakeholders for its covered models, including Front Line Units, model development teams, Market Risk, as well as Finance/PVG and other control functions.

Responsibilities will include but not limited to:

◾Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated


◾Perform independently testing to identify/quantify model risk associated with the model being validated


◾Prepare validation report and technical documents for the model being validated


◾Work closely with the model stakeholders (business, model developers, Market Risk, Finance/PVG and other control functions) with respect to compensating controls of the models and communication of validation outcomes


◾Maintain a sub-portfolio of model inventory and perform annual model reviews, ongoing monitoring reviews, Required Actions Items and Recommendations closure, etc.

The Team:


The Counterparty and Credit Trading Model Risk Management group is a multi-national team within Enterprise Model Risk Management. The team consists of over 30 members, primarily based in US, UK and India. It covers model risk management of Front Office (FO) pricing models for credit products and structured notes, Credit/Funding Value Adjustment (XVA) models, margin models, and counterparty credit risk (CCR) models including counterparty Internal Method Models (IMM).

Masters or PhD in quantitative fields such as mathematics, statistics, physics or equivalent

◾In depth understanding of financial mathematics including stochastic calculus and probability theory, as well as derivative pricing and risk models including interest rates and credit risk modelling.

◾Strong coding ability in C++, Python or R is a plus

◾Being critical thinking, intellectually curious, detailed-oriented, well-organized, quick learning and a team player with good communication skills (both written and verbal)

Shift:

1st shift (United States of America)

Hours Per Week: 

40

Learn more about this role

Full time

JR-22046135

Band: H5

Manages People: No

Travel: No

Manager:

Talent Acquisition Contact:

Taylor Pitre

Referral Bonus:

0

Street Address

Primary Location:
150 N COLLEGE ST, NC, Charlotte, 28255