Senior Quantitative Analyst - Clearing - London - up to £750 per day

London  ‐ Onsite
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Keywords

Description

As a Senior Quantitative Analyst you will be responsible for developing Risk/Pricing Models that evaluate counterparty exposures to the Clearing House. These include models related to Pricing, Value-at-Risk, Stress Testing, Liquidity, Regulatory Capital, and also developing tools for Portfolio Analytics (Sensitivities, Risk Reports, Margin Coverage, etc.). The Senior Quantitative Analyst will also work to perform back testing and statistical analysis required to ensure the adequacy of margin coverage and justify other model assumptions.

Asset Classes:

  • OTC (IRS, FX, and CDS) or Commodities/Futures

Financial Mathematics:

  • Advanced pricing models (Options)
  • Risk methods: Monte Carlo, Volatility Forecasting, Correlation Analysis, Liquidity Risk, etc.
  • Expertise in statistical testing and prior experience with theoretical justifications of Risk Models preferred.

This position will also entail significant interaction with the Clearing Technology Department to implement, test and maintain these risk models. Understanding of core business principles related to Dodd-Frank and other regulatory principles as they relate to Clearinghouse Risk Management policies is beneficial.

Principle Responsibilities:

  • Work on a team that enhances existing risk models as well as designs/prototypes new models across different asset classes like OTC and Futures (eg Pricing, VaR, Backtest, Stress, Liquidity, etc.).
  • Ensure deployment, testing and continuous improvement of these models within the Production Infrastructure of CME
  • Conduct empirical studies and make recommendations on margin levels, modelling issues, and other risk-mitigation measures. Ensure that the model is up to date with the proven theories in the field. 

Qualifications:

  • MBA/MS or PhD in Finance, Economics, or a quantitative field and possesses strong quantitative, analytical and problem solving skills.
  • Strong knowledge of pricing complex derivatives and performing advanced statistical analysis on underlying risk factors (returns' distribution, volatility, correlations, etc.).
  • Preference will be given to candidates who can demonstrate the best practices in developing risk models, such as, Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, Liquidity Risk models, etc.
  • Academic experience in probability theory, stochastic processes, and experience providing theoretical justifications of Risk Models developed.
  • Experience with some programming languages such as C++/C#, R, VBA and SQL is also required.
Start date
ASAP
Duration
6 months
From
Kite Consulting Group Limited
Published at
15.04.2014
Project ID:
695573
Contract type
Freelance
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