DESCRIPTION :
Duties : Develop mathematical models for measuring risk of financial products. Develop and enhance quantitative tools in analyzing profit-and-loss function of financial products, and statistical properties of instruments’ price drivers.
Document modeling choices and corresponding quantitative analysis. Develop on-going testing regimens to ensure that the models behave according to expectations through time.
Collaborate with Model Risk Review & Governance during internal model review and on-going model governance processes. Engage with Market Risk Governance, Market Risk Coverage, valuation-model developers and the trading desks to understand products and strategies.
Design and develop software frameworks for analytics and their delivery to systems and applications.
QUALIFICATIONS :
Minimum education and experience required : Master’s degree in Operations Research, Mathematics, Physics, Computer Science, or related field of study plus 1 year of experience in the job offered or as Quantitative Research, Associate, Quantitative Analyst, or related occupation.
- Skills Required : Requires experience in the following : Mathematic models for Value at Risk (VaR) and Stress VaR; derivative pricing and its application in finance;
- partial differential equations (PDE) and its application in finance; probability theory including stochastic calculus; time series analysis;
- statistics; large data sets including machine learning; Python; Python packages such as Numpy, Scipy, Scikit, Sklearn, Tensorflow, or related;
Jupyter; and code design.
Job Location : 383 Madison Ave., New York, NY 10179. Telecommuting permitted up to 40% of the week.
Full-Time. Salary : $200,000 - $200,000 per year.
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