Credit Risk Quantitative Technology Engineer

Technology · New York, New York
Department Technology
Employment Type Contractor
Minimum Experience Experienced

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 banks 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. 


Thank You

Your application was submitted successfully.

  • Location
    New York, New York
  • Department
    Technology
  • Employment Type
    Contractor
  • Minimum Experience
    Experienced