Our client, a leading Investment Bank in New York, NY is looking for a Credit Risk Quantitative Analyst to join their growing team. This person will strictly be focusing on Counterparty Credit Risk models (CVA, EAD, etc.) across asset classes. The individual will be analyzing the conceptual soundness of risk models and engines, assessing model behavior, and its suitability to particular products as well as the appropriateness of the model’s output risk sensitivities. Candidates must have experience challenging, reviewing, or validating CCR models.
• Analyzing the conceptual soundness of risk models and engines
• Assessing model behavior and its suitability to particular products/structures
• Assessing appropriateness of the model’s output risk sensitivities
• Quantifying materiality of suggested model improvements
• Liaising with front office quants, traders, risk and finance professionals and provide guidance on model risk
• Cogently reviewing analysis findings resulting in model approval or disapproval