Senior Counterparty Credit Risk Model Specialist
3 godzin temu
At DCG, we are seeking an experienced Quantitative Risk Model Analyst to join our team. As a Senior Counterparty Credit Risk Model Specialist, you will play a key role in developing and maintaining our counterparty credit risk models.
Key Responsibilities- Model Development and Maintenance: Develop, maintain, and enhance counterparty credit risk models, particularly for constructing and calibrating risk covariance matrices.
- Simulation Modeling: Calibrate and manage simulation models for counterparty credit risk assessment.
- Covariance Matrix Production: Oversee the production and testing of covariance matrices, ensuring accuracy and reliability.
- Impact Analysis: Conduct impact analysis of model parameter changes on regulatory and internal risk measures.
- Methodology Design: Design and implement methodologies, algorithms, and diagnostic tools to evaluate model robustness, stability, and performance.
- Technical Documentation: Create and maintain detailed technical documentation, including mathematical derivations, project plans, and quality control procedures.
- Regulatory Support: Support regulatory and internal risk management requirements with quantitative solutions.
- Reporting: Prepare comprehensive reports and analyses for senior management and regulatory review.
- Experience: Minimum of 2 years as a quantitative or risk analyst in the financial industry.
- Python Proficiency: Advanced proficiency in Python is essential.
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