Credit Risk Lead

New York, New York, United States

Ref#: POS-4727

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Counterpart Credit Quantitative Analyst 

Our treasury team helps manage Two Sigma’s multi-faceted relationships with our global counterparts. The current team consists of 16 members across Broker Management, Financing, and Liquidity & Cash management. Performing in depth credit reviews and analysis of the entities with whom TS interacts is a critical component – hence this newly created growth opportunity. The objectives of the role are twofold; 

  1. Measure and calibrate the risks assumed by TS through these interactions 
  2. Analyze the risk profile of the entities that TS is working with 
When combined, these objectives result in optimization of the risk profile assumed by TS and  the funds it manages.

Responsibilities include

  • Managing and analyzing credit related data, implementing counterparty credit models/strategies and maintaining libraries.
  • Developing clear and concise counterparty risk reporting for presentation and review with senior management -  applicants should have demonstrated experience presenting and influencing leadership decisions.
  • Utilize existing and new data sources to architect and build a robust centralized credit risk platform. (Whilst not an Engineering role, the candidate is required to operate independently coding and building models in Python/C++ Or Java.
  • Gather necessary data and Interact with counterparts on a daily basis. Some travel maybe required.
  • Partner closely with stock loan and margin teams to ensure a holistic risk management approach
  • Design and implement appropriate policy framework, and automated monitoring processes

Skills Required (essential)

  • Bachelors or Master’s degree in Science in Physics, Mathematics, Engineering or quantitative field
  • 5-7 years of relevant Quantitative counterparty credit modeling experience coming from either asset management or investment banking
  • Proven ability to work independently and drive complex, cross-functional projects
  • Superior written and verbal communication skills
  • Programming experience in C/C++ Python or Java


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