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Credit Risk Quantitative Technology Engineer

Shulman Fleming & Partners
New York, NY
  • Posted: over a month ago
  • Full-Time
Job Description

Credit Risk Quantitative Technology Engineer

MUST be local to NYC. This is a permanent position, no third party resumes will be accepted.

The Credit Risk Quantitative Technology Engineer will be part of the EPE-IT team whose purpose is to support and develop the EPE platform used for PFE, Wrong Way Risk and other model based Credit Risk metrics for the Americas entities.

Responsibilities:

  • 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.
  • Support the evolution of the Mizuho 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 Mizuho.
  • 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:

  • Numerix experience a big plus
  • 5+ years supporting a “diffusion model” PFE solution, developed in-house.
  • 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
  • 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.

Targeted Systems:

  • EPE

Shulman Fleming & Partners

Address

New York, NY
USA

Industry

Technology

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