Quantitative Risk Model Developer

PTR Global • Tampa, FL

424d • $135,200 - $156,000

About The Position

The Quantitative Risk Model Developer role focuses on developing, enhancing, and validating methods for measuring and analyzing risk, particularly in counterparty credit risk models. This position requires a strong background in quantitative finance and applied mathematics, along with proficiency in programming languages. The developer will be responsible for ongoing model performance testing, technical documentation, and supporting credit risk management activities.

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.
• Experience in quantitative finance or a related field preferred.
• Proficient in Microsoft Office, especially MS Excel.
• 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.

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 models 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 and CVA for internal risk management and regulatory capital calculation.
• Develops a unified library package to automate ongoing model performance monitoring and create related unit tests for coding quality assessment.
• Creates tutorials and documentation for widespread library usage among quantitative risk team members and risk managers.

Benefits

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

What This Job Offers

• Job Type: Full-time
• Career Level: Entry Level
• Education Level: Bachelor's degree