Vice President, Front Office Quant PFE Specialist

• Lead complex initiatives involving the creation, implementation, documentation, validation, and defense of counterparty credit risk models
• Design, develop, and implement quantitative models for Potential Future Exposure (PFE) for OTC interest rate and foreign exchange products
• Develop, integrate, and deploy optimization‑based curve construction and product pricing solutions in collaboration with other quantitative teams, contributing to methodology design, implementation, and performance optimization
• Support model development activities related to counterparty credit stress testing and default loss estimation related to client and central clearing counterparty (CCP) portfolios
• Communicate and collaborate effectively with business stakeholders, quantitative teams, technology partners, Model Risk Management, and project management to resolve issues and achieve objectives
• Deliver high‑quality results while adhering to internal policies, procedures, and regulatory compliance requirements
• Contribute to large‑scale project planning, balancing short‑term deliverables with long‑term strategic objectives
• Apply expertise in stochastic modeling, structured securities, and spread analysis to propose and drive model development strategies, enabling informed decision‑making for products and business initiatives with broad impact

• 5+ years of Securities Quantitative Analytics experience, or equivalent demonstrated through a combination of work experience, training, military experience, or education
• Ph.D. in mathematics, statistics, engineering, physics, finance, computer science, or a related quantitative field
• 5+ years of quantitative model development experience
• 3+ years of experience in capital markets modeling, particularly in Potential Future Exposure (PFE) or CVA modeling
• Strong derivatives modeling and implementation experience, especially in Rates or FX products
• Solid foundation in financial mathematics, including stochastic calculus, Monte Carlo simulation, and numerical methods
• Strong hands‑on programming skills in C++ and Python, with demonstrated experience in production‑quality model implementation
• Delivery‑focused mindset with experience partnering closely with technology teams to deploy models within enterprise systems
• Excellent verbal, written, and interpersonal communication skills, with the ability to collaborate effectively across functions
• Proven ability to manage multiple projects, prioritize tasks, meet deadlines, and perform in a fast‑paced, change‑driven environment
• Strong interest in financial markets and a practical, solution‑oriented approach to meeting business needs

Experience in counterparty default loss and CCP modeling is a plus