Vice President - Quantitative Analytics Specialist - CVA

Quantitative Analytics Specialist-CVA Quant/VP Role

Department Overview:

Corporate & Investment Banking (CIB) delivers a comprehensive suite of banking, capital markets, and advisory solutions, including a full complement of sales, trading, and research capabilities, to corporate, government, and institutional clients. The Markets vertical is an integral part of CIB. The Model Development and Maintenance (MDM) team is an extension of the US Front Office team and works with the global quants team to develop and monitor models. The team works in various asset classes like Interest Rate, Credit, Equity, Commodity, FX, and XVA on models that are used for pricing, risk management, and stress testing.

About the Role:

- Lead Securities Quantitative Analytics Specialist who is responsible for performing complex activities related to the design, development, validation, implementation, documentation, and ongoing maintenance of securities quantitative models for CVA/Pricing/Risk that offer insights and recommendations on portfolio performance. Utilizes advanced mathematical skills and programming to create and validate analysis.

- Partner with the desk in daily tasks such as model calibration and pricing/risk management issues and strategies

- Work in our quant library, contributing to our modeling efforts, and providing expertise on implementation issues

- Work with Technology teams in all aspects of model integration, with a special focus on our curve-building and valuation strategic platforms.

- Produce high-quality model documents that satisfy model validation and regulatory requests

- Collaborate with and support Front office Trading, Technology Partners, and Model Validation/Governance teams.

Functional Responsibilities:

Duties include, but are not limited to:

- Participate in model development and deployment:

- Design, Develop & Implement Pricing Models

- Testing and testing documentation:

- Participating in unit testing, large scale Quant testing, pre-integration testing, integration testing, regression testing, UAT

- Testing case generation

- Checking the consistency and accuracy of quantitative models

- Testing tools and testing (partial) automation:

- Developing testing scripts and automation scripts, e.g., for the Quant testing framework

- Participation in issue resolution

- Debugging case preparation (to produce isolated cases to demonstrate the issues) for the on-shore Quants

- Debug and conclude data issues/model input issues

- Testing of testing, debugging and resolving testing issues, and the issues in the Quant testing framework

- Part of the model documentation

- Production health monitoring tools

- Participating in the creation, execution and development of Front Office test plans

- Participation in the creation, execution and development of model monitoring plans

- Writing code (in Python, C++, etc.) and refactoring code after receiving approval to do so

- Actively participating and contributing in team discussions on project-specific areas/assignments

- Maintaining proper documentation of all processes and keeping the code up to date

- Answering ad hoc questions from various stakeholders including US Front Office Quants, populating templates or creating new reports/extracts as requested by stakeholders

- Collaborate with and influence all levels of professionals, including more experienced managers

- Advise senior leadership to develop or influence objectives, plans, specifications, resources, and long-term goals for highly complex business and technical needs across Securities Quantitative Analytics

- Play an integral role to the trading floor

- Develop and guide a culture of talent development to meet business objectives and strategy

- Develop and guide a culture of talent development to meet business objectives and strategy

- Engage with all levels of professionals and managers companywide and serve as an expert advisor to leadership

Required Qualifications:

- A Master's or PhD in a quantitative field such as math, statistics, engineering, physics, economics, computer sciences, etc.

- 7+ years of experience in Securities Quantitative Analytics, or equivalent demonstrated through one or a combination of the following: work experience, training, & education

- Good verbal, written, presentation and interpersonal communication skills

- Hands-on experience in programming in, e.g., Python or C++

- Knowledge or experience in derivatives Quant models for, e.g., interest rate derivatives or commodities derivatives or equity or XVA

- Ability to learn quickly and work collaboratively within a team in a dynamic and fast-paced environment with multiple responsibilities but still following strict deadlines

- Good writing skills for technical/mathematical documents, e.g., LaTeX and other word processing programs

Preferred Skills & Abilities:

- Strong mathematical, statistical, analytical and computational skills

- Good knowledge of financial mathematics and financial models

- Eagerness to contribute collaboratively on projects and discussion