Location: New York,NY, USA
Posting Description CCR QR is part of the Global QR organization of CIB (Corporate & Investment Bank). Counterparty Credit Risk Quantitative Research (CCR QR) is seeking a Senior Vice President/Executive Director (SVP/ED) to join our New York team York team. As a SVP/ED your primary responsibilities will include research, implementation and support of quantitative models developed for pricing and risk managing of counterparty credit risk and capital, XVA and margin. CCR QR is also responsible for development of the latest margin and credit risk capital models, such as Standardized Initial Margin Model (SIMM) and implementation of Basel IMM.Counterparty Credit Risk Quantitative Research (CCR QR) is looking for a strong and highly motivated individual to join our New York team to lead the research and development of state-of-the-art quantitative models and analytics for pricing and managing of counterparty credit risks. You should have strong communication skill and management experience. Job Responsibilities Lead a team of highly skilled quantitative developers to design and implement cutting edge quantitative models for pricing and managing counterparty credit risks. Proximity to counterparty trading, margin trading and credit risk organization for business support. Collaborations with other LOB QR including IR, FX, EQ, Credit and Commodities QR. Applying the latest high performance computing (HPC) techniques including cloud computing, distributed processing, GPU to solve business problems. Opportunities to work closely with Technologies on model deployment and testing.Required Qualifications, Capabilities, and Skills Strong communication skills both written and verbal. Highly driven and self-motivated to deliver results. 5+ year of industry experience. Management experience of leading a team. C/C++ and Python programming experience. PhD or MS degree in a quantitative field, e.g. Math, Finance, Physics, Computer Science or Engineering.