Credit Risk Specialist

New York, NY, US • Posted 28 days ago • Updated 28 days ago
Contract Corp To Corp
Contract W2
Contract Independent
No Travel Required
On-site
Depends on Experience
Fitment

Dice Job Match Score™

📊 Calculating match score...

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 28 days ago
Create job alert
Set job alertNever miss an opportunity! Create an alert based on the job you applied for.

Similar Jobs

Remote or New York, New York

Today

Full-time

USD 142,320.00 - 213,480.00 per year

New York, New York

Today

Full-time

New York, New York

5d ago

Full-time

USD 97,854.00 - 157,938.00 per year

New York, New York

24d ago

Full-time

USD 135,600.00 - 154,800.00 per year

Search all similar jobs