Quantitative Risk Model Developer

$135,200 - $156,000/Yr

Pinnacle Group - Tampa, FL

Full-time - Mid Level

Tampa, FL

Insurance Carriers and Related Activities

About the position

The Quantitative Risk Model Developer role focuses on developing, enhancing, and validating risk measurement methods, particularly in counterparty credit risk models. This position requires a strong background in quantitative finance, programming, and applied mathematics, with responsibilities that include model performance testing, technical documentation, and support for credit risk management.

Responsibilities

• Develops, enhances, and validates methods of measuring and analyzing risk, addressing deficiencies in current counterparty credit risk models.
• Performs rigorous ongoing model performance tests for all counterparty credit risk model production regularly through backtesting, impact analysis, and statistical analysis.
• Enhances BAU backtesting to meet regulatory guidelines.
• Prepares detailed technical documentation reports for validation purposes that meet regulatory guidelines and exceed industry standards.
• Presents key findings in model development and enhancement to senior management and supervisory authorities.
• Supports trading book credit risk management by calculating portfolio level counterparty exposure such as EPE, EAD, CVA, used for internal risk management, regulatory capital calculation, and stress testing.
• Develops a unified library package to automate ongoing model performance monitoring and create related unit tests for coding quality assessment.
• Develops tutorials and documentation for widespread library usage among quantitative risk team members and risk managers.

Requirements

• Master's Degree with 2 years of working experience or Bachelor's Degree with 4 years of working experience.
• Proficiency in programming languages such as Python, R, C++, and shell scripts.
• Solid knowledge in applied mathematics, statistics, and numerical methods.
• Experience in analyzing large and complex datasets.
• Experience in developing and maintaining detailed technical documentation for models, model validation, project plans, and processes.
• Proficient in Microsoft Office, with an emphasis on MS Excel.
• Consistently demonstrates clear and concise written and verbal communication skills.
• Self-motivated and detail-oriented.
• Demonstrated project management and organizational skills, capable of handling multiple projects simultaneously.

Nice-to-haves

• Ph.D. degree in a quantitative field (e.g., quantitative finance, finance engineering, economics, computer science, statistics, mathematics, engineering) with research experience in modeling and numerical simulation.

Benefits

• Medical insurance
• Dental insurance
• Vision insurance
• 401K contributions
• Paid time off (PTO)
• Sick leave
• Other benefits mandated by applicable state or localities