us bankBrooklyn, NY
Senior Quantitative Model Analyst - Counterparty Credit Risk Modeling
Senior Quantitative Model Analyst - Counterparty Credit Risk Modeling
Senior Quantitative Model Analyst - Counterparty Credit Risk Modeling
us bankBrooklyn, NY
today
Commercial BankingSavings Institutions and Other Depository Credit IntermediationInternational, Secondary Market, and All Other Nondepository Credit Intermediation
Apply for this role (opens in a new tab)Overview:
In this role, you will develop and maintain counterparty exposure models for the bank’s trading, prime brokerage, and securities financing activities. You will work closely with trading desks, risk, technology, and control functions to ensure quantitative solutions meet business and regulatory needs. You will advance methodologies for PFE, EE, and other CCR metrics within a Monte Carlo framework, shaping risk analytics infrastructure. This is an impact-driven opportunity to elevate counterparty credit risk modeling and support growth initiatives. You’ll engage with senior stakeholders and influence decisions through rigorous analysis and clear documentation. Compensation / Benefits Healthcare (medical, dental, vision) 401(k) and employer-funded retirement plan Paid vacation and holidays Parental leave Life insurance Disability insurance
Responsibilities:
Research, design, and maintain counterparty exposure models for derivatives, prime brokerage, and securities financing Develop methodologies for measuring PFE, EE, and other CCR risk metrics Support pricing models and risk-factor simulation frameworks using Monte Carlo methods Develop exposure methodologies for Prime Brokerage and Equity Finance products Perform model monitoring, backtesting, and sensitivity analyses at multiple levels Collaborate with trading desks, risk managers, and technology and control partners to meet requirements Assist with model validation, regulatory reviews, and documentation Present methodologies and results to both technical and non-technical audiences Contribute to ongoing enhancements of the CCR modeling framework and analytics infrastructure
Key requirements:
Bachelor’s degree in a quantitative field or equivalent experience (10+ years) or MA/MS (6+ years) or PhD (5+ years) Strong programming skills in Python, C++, or similar languages Deep knowledge of derivative pricing, stochastic processes, and Monte Carlo simulations Experience with risk management, derivatives analytics, and counterparty credit risk Excellent communication skills and ability to explain complex concepts to diverse audiences Communication (written and verbal) Attention to detail Analytical and problem-solving abilities Python C++ Monte Carlo simulation
Also on the board Same function, level within a rung
Level
Senior
Location
Brooklyn, NY
Occupation
Financial Quantitative Analysts
Industry
Commercial Banking
Posted
today