SoHo Dragon

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. 

 

Support 

 

• 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 

 

Qualifications: 

 

• 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.