Credit Risk Specialist

New York, NY, US • Posted 1 day ago • Updated 1 day ago

Contract Corp To Corp

Contract W2

Contract Independent

No Travel Required

On-site

Depends on Experience

Fitment

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Job Details

Skills

Algorithmics
Basel
C++
Credit Risk
Derivatives
Distribution
Dodd-Frank
EMIR
Murex
Pure Data
Python
Quantitative Analysis
R
RCM

Summary

We've had a Credit Risk Specialist role open for a bit now, and many of the profiles interviewing are lacking in the technical skills.

The rest of the team is from LATAM, so this person must have the skills to justify the higher cost that comes with being onsite in NYC. They are emphasizing the experience in calculation of risk parameters (PD, LGD, EAD) at minimum

Location: Onsite in NYC

Objective: To measure and control exposure to the risk of a counterparty defaulting on its obligations in derivatives or repurchase agreements.

Required knowledge:

Key metrics:

EE/EPE/ENE: Expected Exposure, Expected Positive/Negative Exposure.
PFE: Potential Future Exposure (exposure distribution percentiles).
RCM/EAD: Exposure at Default for regulatory purposes.
Regulations:
Basel III/CRR: SA-CCR, IMM.
EMIR/Dodd-Frank regulations (collateral, margins).

Required data:

Netting sets, collateral, ratings, correlations.
Forward curves and volatilities to simulate exposure.
Mitigation models: Netting, Collateral, CDS hedging.

Tools:

Risk systems (Moody’s, Murex, Quant libraries).
Programming for simulations: Python, C++, R, Matlab.
Algorithmics

Employers have access to artificial intelligence language tools (“AI”) that help generate and enhance job descriptions and AI may have been used to create this description. The position description has been reviewed for accuracy and Dice believes it to correctly reflect the job opportunity.

Dice Id: 91109018
Position Id: 8877410
Posted 1 day ago

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Credit Risk Specialist

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Job Details

Skills

Summary

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