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In this role, you will:
Take a leading and hands-on role in high-profile projects involving Potential Future Exposure (PFE) for SFT and Derivatives, Internal Model Method for CCR (IMM) capital, CVA and FVA calculations (XVAs). Design and implement algorithms and models for the CCR Monte Carlo engine which measures PFE, IMM capital and XVAs. Development and implementation of processes is typically completed in Python with close collaboration with stakeholders in IT to promote models into production.Operate complex processes in Unix/Linux Environments for computations of CCR measures (e.g. processing input data, running Monte Carlo simulation for derivatives, calculating CCR measures, etc.)Communicate with model users, trading desks, trade floor risk management, and business lines to enhance models and ensure correct use of models. Assist team members for various ad-hoc analyses, model development,...