Role details

Credit Risk Quantitative Analyst

New York   •  Temporary

Bullet points

  • Quantitative Analysis within Financial Services
  • International investment bank located in New York, NY

About Our Client

Top tier American investment bank located in New York, NY.

Job Description

Primary Responsibilities of the Credit Risk Quantitative Analyst:

  • Perform quantitative analysis and modeling on counter-party credit risk in accordance with internal risk management and regulatory compliance.
  • Quantitative model testing, validation, and enhancement, as well as stress and back testing for counter-party credit risk exposure measurements models.
  • Monte Carlo simulation, pricing, and valuation models, margining, netting and aggregation models.
  • Perform analysis on the firm's existing system, data, model and processes within the context of risk management and regulatory implementation.
  • Work directly with credit officers to evaluate proposed trades and advise them on credit limit setting and monitoring.
  • Develop prototype models to calculate exposure of new or exotic products.
  • Program, test and implement quantitative financial methods.

The Successful Applicant

Credit Risk Quantitative Analyst qualifications are:

  • An advanced degree (M.S.) in a quantitative discipline, or a relative area, e.g, economics, mathematics, or finance.
  • 2-4 years work experience in a quantitative research group.
  • Knowledge of option pricing.
  • Experience with Monte Carlo simulation and numerical analysis.
  • Strong programming skills in Matlab, R, C++, Python.
  • Good communication skills, both verbally and written are desired.

What's on Offer

Competitive hourly rate within the Banking industry.

Apply for this job

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