Risk Analytics Quantitative Expert Senior
The Tower at PNC Plaza (PAA86), United States
USD 125K-276K Senior-level Full Time
Tasks
- Assess data quality and integrity
- Assess model impact
- Assess option and hedging effectiveness
- Benchmark model outputs
- Build stress testing models
- Develop and maintain PFE models
- Develop and maintain VaR models
- Develop model methodology
- Enhance IRRBB analytics
- Evaluate model risks and limitations
- Oversee model governance and compliance
- Perform NII and EVE sensitivity analysis
- Perform model validation support
- Prepare validation documents
- Provide quantitative support for new products
- Run scenario analysis for IRRBB
- Support CCAR analytics
- Support CECL analytics
- Support FRTB analytics
- Support regulatory review documentation
Perks/Benefits
- 401k match
- Dental insurance
- Educational assistance
- Health insurance
- Paid Holidays
- Paid time off
- Parental leave
- Pension plan
- Stock purchase plan
- Vision insurance
- Wellness program
Skills/Tech-stack
Bloomberg | CCAR | CECL | Counterparty risk | Data Quality | Eve | FRTB | Financial risk | Financial risk modeling | IRRBB | Interest Rate | Interest Rate Risk | Interest Rate Risk in the Banking Book | Market Risk | Model Governance | Model Validation | Murex | NII | Numerix | Potential Future Exposure | Python | Quantitative Analysis | Risk Modeling | Scenario Analysis | Stress Testing | Value-at-Risk
Education
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