Description
Statistician/Econometrician to strengthen the counterparty and market risk quant functions of a Tier 1 Investment Bank. The ideal candidate will be educated to masters or PhD level in a quantitative subject such as Statistics, Econometrics, Mathematics, Physics. The role will involve all aspects of the model life cycle from model inception, through conducting econometric, statistical analysis of large dataset, prototyping and development to production implementation (typically in C++), documentation and defending our models against challenge from stakeholders, model validation and regulators.
Person Requirements
Essential skills
- Strong quantitative and statistical skills (time series analysis, logistic/linear regression, ARIMA modelling)
- Basic financial concepts (eg derivatives, discounting cashflows)
- Programming experience including source control, unit testing and continuous integration
- Experience manipulating large data sets and working around data quality problems
- SQL
- High level of initiative, motivation and drive
- Strong communication (verbal and written) skills
Preferred Skills
- Stress testing
- Experience with CCAR requirements
- Familiarity with Monte Carlo and/or historical simulation methods
- Python and/or C++ development experience
- Familiarity with counterparty credit risk (CCR or CVA)
- Familiarity with market risk methodology (VaR, Greeks)
- Exposure to Front Office environment