Counterparty Risk Quant Analytics, Director-ED level
JOB DESCRIPTION
An already dominant presence within quantitative risk markets, this leading investment bank is adding as an expansion hire a Director – Executive Director Counterparty Risk Quant to its group. To lead this existent team requires a very multifaceted quant with a track record of model development, developing risk frameworks, performance monitoring, back-testing models, knowledge of model governance and risk methodologies, as well as having had direct reports.
Locations: New York, USA
The role:
- Responsible for leading an existing counterparty quant risk team.
- Will need to be able to develop counter party risk models.
- Work on Potential Future Exposure (PFE), credit capital, VAR, expected loss (EL) etc.
- Develop and build quantitative risk frameworks and performance monitoring.
- Enhance the model inventory and model governance applied for counterparty risk.
- Communicate clear with other senior risk quant and senior management.
- Responsibilities in leading new projects, products and analytical efforts.
- 10 years counterparty risk modeling and exposure to statistical techniques experience.
- Ideally a PhD in a quant subject – statistics, mathematics, physics, finance or similar.
- Experience with counterparty risk statistical models, risk measurement methodologies, aggregation, model inventory, back-testing plan, performance monitoring etc.
- FRM and CFA would be a plus but not essential.
- Thorough understanding of Exposure Counterparty credit risk including expected loss, potential future exposure, Value at risk etc.
KEY WORDS:
Counterparty credit risk, counterparty risk quant, expected loss, potential future exposure, value at risk, VAR, PhD, model development, , risk frameworks, performance monitoring, model inventory, model governance, counterparty risk methodologies.
This is an immediate hire, interviews are to begin soon and early application is advised. GQR also welcomes tentative enquiries from suitably qualified individuals.
Confidentiality and utmost discretion is 100% assured.
APPLY | risk.americas@gqrgm.com
VISIT US | www.g-q-r.com/vacancies
While a resume is preferable we also welcome tentative enquiries from well-qualified persons. To speak with an agent please contact one of our regional offices using the contact details listed below. Utmost confidentiality and discretion is assured.
Please ask for Kasey Churchill
LOS ANGELES | 1.310.807.5032
10877 Wilshire Boulevard, Los Angeles, CA 90024 | Office Hours: 7.00-21.00 PDT
NEW YORK | 1.212.763.8333
1325 Sixth Avenue, New York, NY 10173 | Office Hours: 9.00-21.00 EDT
LONDON | 020.3207.9090
St Clements House, London, EC4N 7AE | Office Hours: 9.00-21.00 GMT
HONG KONG | 852.3678.6738
2 Exchange Square, 8 Connaught Place, Central | Office Hours: 9.00-21.00 HKT
VISIT US | www.g-q-r.com | www.g-t-r.com | www.gqrgm.com
GQR Global Quant, GQR Global Trading, GQR Global Markets
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