Be  a part of creating the right solutions. We are looking for a Quant  Finance Analyst - Counterparty Model Risk Management for our client in  New York, NY.  
 

Our  client is one of the world's largest financial institutions, committed  to providing the tools and services that bridge the gap between  customers and their goals. If you’re up to the challenge, then take a  chance at this rewarding opportunity!  

 RESPONSIBILITIES:   

•  Validate XVA system models and feeder models of bank's counterparty  systems developed by Quantitative Strategy Group and Global Risk  Analytics, including all asset classes: IR (Interest Rates), FX (Foreign  Exchange), Inflation, Equity, Commodity, Credit, Mortgage, as well as  collateral exposure modelling.
• 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, 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, on-going monitoring reviews, Required Actions Items closure and  etc.  

 EXPERIENCE/SKILLS REQUIRED:   

• 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.
•  Exceptional knowledge of financial derivatives, OTC trading and hedging,  collateral management, capital management, bank's operations and  regulatory requirements
• Strong coding ability in C++, Python or R is a plus
•  5y work experience is required in quantitative modelling and/or  validation in CVA/CCR or derivative pricing models. Experience on  FVA/KVA models 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)  

Equal Opportunity Employer:   We value diversity and do not discriminate based on Race, Color,  Religion, Sex, Sexual Orientation, Gender Identity, National Origin,  Age, Genetic Information, Disability, Protected Veteran Status, or any  other legally protected group status. 

To apply, please send your resume to careers@financegurucg.com with the title in subject line.