Quantitative Analyst - LIBOR to SOFR Transition

Analytics, Benchmarking, C, CAN, COM, Calibration, Capital market, Commodities, Communication skills, Computer science, Credit derivatives, Credit risk, Cross-functional, Derivatives, Development testing, Engineering, Equities, Foreign exchange, Forms, Front office, Impact analysis, Pricing, Python, QA, Quantitative analyst, REACH, Research, SOLID, SQL, Simulation, Technical writing, MOST, Market risk, Mathematics, Modeling, Monitoring, Monte Carlo method, Valuation, Writing
Contract W2, 24 Months
Depends on Experience
Work from home available

Job Description



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Title:                      Quantitative Analyst - LIBOR to SOFR Transition 
Location:             Charlotte, NC Remote until COVID
Duration:             12-24 Months

Job Description:

The Counterparty Credit Risk Analytics (CCRA) team within the Enterprise Counterparty & Market Risk organization is responsible for all counterparty credit analytics for the firm. In particular the individual will be responsible for developing, testing and supporting Potential Future Exposure (PFE) and Expected Positive Exposure (EPE) models, working collaboratively with Front Office model developers on CVA development, testing and on-going monitoring, and working with cross-functional teams on counterparty credit capital initiatives. Most of the modelling is based on Monte Carlo simulations and full re-valuations of derivatives, therefore the ideal candidate will be a subject matter expert in derivative pricing as well as Monte Carlo simulation development. Underlying assets include commodities, equities, foreign exchange, interest rates, credit derivatives and structured products. The models are used for counterparty limit setting with the goal to reach approval for usage of regulatory capital charge calculation (Internal Methodology Models).

Key responsibilities for this role will include, but not be limited to, the following:

  • Research, develop, test, support and document the simulations and their calibration methodologies, especially related to SOFR curves
  • Research, develop, test, support and document the pricing models in broad assets
  • Perform back-testing on the models and perform other forms of ongoing monitoring of simulation and pricing models, investigate performance issues identified through testing or from users
  • Perform model benchmarking, materiality impact analysis for model weakness and limitations

The ideal candidate will have relevant experience with a successful track record of accomplishing complex projects. The candidate should be a good team player to be able to assist/support the high-priority project - LIBOR transition within entire Client bank. He/she is expected to be good at managing the collaborations and relationships across teams, as well as making excellent progress individually under supervisions.
Required Qualifications

  • Basic knowledge in capital market
  • Work experience in C++/Python programming and SQL
  • Efficiency in writing clear and quality technical documentation

Desired Qualifications

  • Advanced degree with Master’s degree or above in quantitative disciplines such as computer science, mathematics or engineering etc.
  • Excellent verbal, written, and interpersonal communication skills
  • Solid background in derivative valuation and stochastic processes
  • Ability to prioritize work, meet deadlines, achieve goals, and work under pressure in a dynamic and complex environment



Dice Id : 10126196
Position Id : 6851456
Originally Posted : 2 months ago
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