Job Summary & Responsibilities
Quantitative Analyst, VP
Credit Risk Management and Advisory
HOW YOU WILL FULFILL YOUR POTENTIAL
• Development of models and simulations for stress testing regimes and guidelines requested by Global regulators. Will require interaction with regulators.
• Development of pricing and simulation models for interest rate, equities, commodities, FX, and credit derivatives.
• Capital simulation models, econometric prediction of default and loss given default, hedging of derivative credit risk, and the risk-return tradeoff in a credit risky portfolio of assets.
• Development of prototypes of models and interaction with the IT group in developing and testing production models
SKILL AND EXPERIENCE WE ARE LOOKING FOR
• Masters or Ph.D. in a quantitative subject (Math, Physics, Engineering)
• Knowledge of derivative pricing and financial economics
• Programming experience in Matlab, C++, C#, or Java
• Communication skills and teamwork are important attributes for successful candidates.
