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