Quantitative Risk, AVP
$90,000–$157,500 year
On-siteBoston, Massachusetts, United States or Stamford, Connecticut, United States
Boston, Massachusetts, United States or Stamford, Connecticut, United StatesOn-siteFull Time$90,000–$157,500 yearDoctorate Or Professional DegreeEnterprise
Full TimeDoctorate Or Professional DegreeEnterprise
Job Summary
Develop and build out financial models and analytics for counterparty credit risk across SSGM Financing Solutions, including Agency Lending, Prime Services, and derivatives. Advance the existing codebase with new solutions while documenting methodology and implementing ongoing monitoring plans with performance metrics. Execute complex CCAR regulatory deliverables and support BAU risk management activities by collaborating with control functions, business users, and IT partners to establish appropriate production processes.
Required Qualifications
- Masters' or PhD in a quantitative discipline (Financial Mathematics, Financial Engineering, Mathematics, Statistics, Computer Science, or a related field)
- Minimum 2-4 years of working experience in financial modeling field as a key contributor
- Demonstrated knowledge and experience developing or validating VaR, PFE and CVA models
- Demonstrated knowledge on derivatives, RMBS and equities pricing/modeling, yield curve building methodology, interest rate modelling
- Advanced programming skills in statistical programming environment Python and SQL
- Self-motivated and attention to detail
- Demonstrated ability to work independently on complex projects as well as the ability to be a team player in a fast-paced, high-energy level environment
- Strong verbal and written communication skills, with ability to articulate ideas, analysis and complex concepts effectively to broad audiences
- Competence and confidence to gain credibility and collaborate for success across the organization
Desired Qualifications
- Experience in machine learning
- Familiarity with CCAR regulatory frameworks and the corresponding requirements
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