Credit Risk Quantitative Technology Engineer

SoHo Dragon
22 March 2023
Grand Central, Manhattan


SoHo Dragon represents an investment bank with offices in New York, NY that needs to hire a Credit Risk Quantitative Technology Engineerto 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 bankEscalate 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.


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