Quant

New York  ‐ Onsite
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Description

In this role, the successful candidate will oversee the quality of a major bank's model risk management practices and manage its exposure to model risk. He or she will utilize market risk models to measure the risk of negative impacts due to fluctuations in interest rates, credit spreads, foreign exchange rates, mortgage rates, equity and commodity prices, and market liquidity. Risk must be measured across the trading book, AFS securities, HFS assets, the mortgage book, and private equity investments.

This role will involve conducting regular product and model validation to both assess and mitigate the bank's risk. The successful candidate will independently review and analyze models used for pricing and the risk management of equity derivative products to determine the conceptual soundness of the model's specifications and assumptions, including its response to stressed market conditions, the correctness of its implementation, and the robustness of its numerical aspects. He or she will also review the adequacy of the product-model considering market liquidity and hedging strategies along with studies of product sensitivities in various market conditions and propose alternative approaches as needed. Finally, he or she will review models implemented in C#.

Qualifications:
Ph.D. in Economics, Finance, Statistics, Computer Science or Mathematics; an MS can be accepted if accompanied with sufficient experience
3 or more years of experience in pricing model validation or a Front Office quant role with a broad exposure to Fixed Income or equity derivatives
Experience in building or validating mathematical or statistical models (especially interest rate models, CVA, XVA, and price factors)
Knowledge of Fixed Income trading, including swap and swaption, Muni derivatives, inflation linked products, inflation hedging, interest rate hedging, CVA, and XVA
Ability to develop or validate stochastic calculus applications in a financial context
Understanding of financial industry regulations and practices related to model development, capital requirements, and model validation
Ability to use models for Value-at-risk and CCAR/stress tests
Experience in model validation and benchmarking, specifically related to rate models, interest rate term structures, stochastic convergences, interest rates, Markovian models with numerical PDEs, exotic derivatives pricing, SABR models, and Monte Carlo simulations
Understanding of structured securities, credit impacts, and cash flow
Excellent verbal and written communication skills, tailoring communications to both clients and coworkers
Strong presentation and facilitation skills
Creative problem-solving ability and a collaborative, consultancy mindset
Focus on exceptional quality in all client deliverables
Proven ability to successfully lead client service delivery teams that deliver the highest quality work
Ability to thrive in a fast-paced challenging environment where priorities and scope may change quickly
Relationship-oriented with the ability to thrive in an organization where team building and authentic relationships are vital
Demonstrated positive and productive client relationship skills
Ability to generate a quality work product in a timely manner while maintaining a strong attention to detail
Ability to work well independently and within a team
Experience working on discrete, time sensitive projects
Highly motivated, driven, and dynamic attitude towards work and career
High-energy, positive, persuasive, and aptitude to lead by example

Start date
ASAP
Duration
6 months
From
Ph.D. Search and Selection
Published at
22.07.2017
Project ID:
1385613
Contract type
Freelance
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