Masters in a relevant field such as Computer Science or Financial Engineering
Strong quantitative and analytical skills
Proficient in programming and communication
Familiarity with financial markets
Responsibilities
Develop and analyze models for clearing initiatives
Conduct code release testing
Validate historical data
Perform margin and stress testing model validation
Execute portfolio back-testing
Research and solve problems effectively
Produce timely, high-quality results
Full Job Description
Responsibilities:
The Quantitative Risk Team in the Risk Management Department is responsible for developing, analyzing, and back-testing models for clearing initiatives. Daily responsibilities include code release testing, historical data validation, margin and stress testing model validation, and portfolio back-testing. The candidate must have the ability to efficiently, effectively conduct research, analyze problems, formulate and implement solutions, and produce high quality results on time.
Required Skills:
Masters in Computer Science, Financial Engineering, Financial Mathematics, Mathematics, Physics, or a related discipline.
Superb quantitative and analytical background.
Excellent programming, communication, and documentation skills.
Knowledge of financial markets.
PreferredSkills:
Work experience or education in advanced quantitative risk modeling and knowledge of statistical models in risk management preferred.
Work experience or education in advanced derivatives modeling and knowledge of volatility models preferred.
Work experience or education in curve construction and data validation preferred.
Required Skills:
Masters in Computer Science, Financial Engineering, Financial Mathematics, Mathematics, Physics, or a related discipline.
Superb quantitative and analytical background.
Excellent programming, communication, and documentation skills.
