SoHo Dragon represents an investment bank with offices in New York, NY that needs to hire a Credit Risk Quantitative Technology Engineer to support and develop the EPE platform used for PFE, Wrong Way Risk and other model-based Credit Risk metrics for the Americas entities.
- Lead in supporting Credit Risk and Front Office user using the what-if framework in understanding the numbers coming out of the EPE platform
- Lead in resolving business critical issues, lowering the number of SLA breaches with downstream consumers.
Business Solution Evolution
- Support the evolution of the bank's EPE business solution from the analytics/calculation technology perspective catering to Credit Risk and Front Office users.
- Work with EPE-IT, market/credit risk owners and product control owners to understand & implement:
- New products/payoffs using the EPE model (with stochastic diffusion)
- New functionalities such as what-if/Pre-trade feature allowing pre-trade credit impact analysis
- Work with Risk Analytics and Model validation team on new products/models within the EPE Calculation platform used at the bank
- Escalate problems proactively and ensure all stakeholders are kept aware of issues and their development.
- Develop test plans for technical enhancements & new functionalities. Work with users to certify enhancements.
- Work with library vendor to test & deploy enhancements to the EPE Platform
- Define test cases and scenarios for quality assurance and execute test plans
- Maintain a knowledge base, support scripts, documentation and procedures
- 5+ years supporting a “diffusion model” PFE solution, developed in-house, or for a vendor
- Understanding of credit Risk calculation processes – Netting Sets/ISDAs, diffusion model implementation, model drivers, aggregation logic, wrong way risk.
- Working knowledge in derivatives allowing to understand the business context.
- Working knowledge of Credit Risk practices
- Good understanding of calculation distribution/aggregation technical issues and how to optimize them.
- Usage of SQL, experience in VBA, Python, unix.
- Ability to read/run scripts, process large amount of data.
- Experience working on Risk Calculation platforms, serving as a key partners to the business in defining the product roadmap.
- Ability to multitask several ongoing issues. This involves the ability to assess priority and make appropriate decisions quickly and effectively.
- Effective interpersonal skills and relationship-building skills.
- Strong written and verbal communication skills.
- Strong analytical and problem-solving abilities with keen attention to detail.
- Self motivated and directed, with the ability to effectively prioritize and execute tasks in a high-pressure environment.