Senior Quantitative Analyst

New York, New York

Post Date: 01/31/2017 Job ID: 41566 Job Category: Data Modeler

Title of Job: Senior Quantitative Analyst

Company Description: Industry leading financial services organization

Location: Charlotte, NC or  New York, NY

Responsibilities:
  • Validate XVA models developed by front office model developers and IMM/CCR models
  • Coverage includes all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity and Credit, as well as collateral exposure modelling
  • Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated
  • Perform independently testing to identify/quantify model risk associated with the model being validated
  • Prepare validation report and technical documents for the model being validated
  • Work closely with the business, Market Risk, Finance/PVG and other control functions with respect to compensating controls of the models and communication of validation outcomes
  • Maintain a sub-portfolio of model inventory and perform annual model reviews, on-going monitoring reviews, Required Actions Items closure

Requirements:
  • 5+ years of quantitative modelling experience in counterparty models or related area in a major trading or investment firm
  • PhD in quantitative fields such as mathematics, statistics or equivalent
  • Broad hands-on experience and expertise in quantitative finance for cross-asset classes with in depth understanding of financial mathematics including stochastic differential equations, probability theory, interest rates and credit risk modelling.
  • Well organized, detail-oriented with good communication skills (both written and verbal)
  • Strong coding ability in C++ and Python is a plus

Salary: Based on experience

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