Director- Quantitative Credit Risk - job id 33426


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Director- Quantitative Credit Risk

$500,000 F/T Employee

Midtown, NYC



How to Apply

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Suzana Gjinovic


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(646) 876-9560


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(212) 616-4800 ext-200




A F/T position at a major U.S. financial institution.

Pay Options: F/T Employee.

Contact Jason Vu. call (646)876-9536 or email jason@sans.com with the Job Code SG33426 or Click the Apply Now button ().

Location: Midtown, New York City or Charlotte, NC.

Skills required for the position: CREDIT RISK, QUANTITATIVE, TRADING , FIXED INCOME, MANAGEMENT.


Detailed Info:

  • To be a key member of the Credit Risk Technology leadership team, helping to drive the group forward in both day-to-day and project delivery.

  • Primary point of contact for all valuations within the broader Credit Risk Technology group.

  • Daily face-off to senior business partners.

  • Management of a globally distributed group of 20-50 staff with a broad remit to cover valuations and related queries.

  • Manage the team and processes that provide valuation support to Front Office, Market Risk, Regulatory Stress Testing, Middle Office and other teams; this includes explaining and justifying Risk, P/L Explain and regulatory output.

  • Able to manage resource allocation and prioritization across multiple streams.

  • Be broadly aware of budgetary processes surrounding the team.

  • Manage a broad range of short, medium and long term projects that the group is funded to execute. Within those projects manage the interaction with all downstream systems for queries/changes to valuation data.

  • Manage the complex regulatory valuation delivery (CRMIRC, CCAR) within Credit. Spanning closed form and Monte Carlo models amongst others. Deliver high quality data on a weekly/monthly/quarterly basis as required.

  • Work with Front Office, Quant and Horizontal Technology teams to support new credit derivative products and the analytical models associated with them.


Development/Computing Environment:

  • Masters or Ph.D from a quantitative discipline, such as Computational/Quantitative Finance, Statistics, Financial Engineering, Operations Research and Applied Math;

  • Good school a plus.

  • Excellent Excel skills.

  • Experiences with SQL, C++, Python a plus.

  • Extensive knowledge of fixed income pricing.

  • Knowledge of credit derivative a plus.

  • Ability to multitask and program manage across multiple unique projects.

  • Good communication skills.

  • Experience operating in a decision-making role; experience facing off to the business.

  • Experience managing a diverse global team.

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The position offers competitive compensation package.


Job Id: 33426