Become a pivotal Senior Quantitative Modelling Developer in the CCR landscape. Focus on implementing an advanced Monte Carlo approach to optimize the risk management system at a leading financial institution.
This role requires a blend of hands-on quantitative expertise and collaborative skills. You will lead the transformation of Counterparty Credit Risk processes, ensuring that the Monte Carlo simulation frameworks are finely tuned to meet organizational needs. Prior experience in real-world calibration and a solid programming foundation are critical.
Key Responsibilities:
• Lead the CCR replacement initiative with innovative solutions
• Collaborate to enhance existing pricing systems
• Develop comprehensive Monte Carlo models across asset classes
• Implement new calibration methodologies in production
• Analyze CCR exposure metrics and performance indicators
Requirements:
• 7+ years in quantitative modelling with a focus on CCR
• In-depth expertise in M...