Quantitative Risk Analyst

Description

• Review and provide quantitative opinions on the models including their theoretical soundness, limitations, consistency, stability, and calibration. Model risk assessment is the focus of the model review group.
• Justify the model assumptions/constraints and assess their impacts to the valuation and risk by performing sensitivity analysis and stress testing on models as required;
• Validate the implementation of the model in library, risk engines, or trading systems, and writing appraisal reports.
• Work with senior members of the model review group to develop independent quantitative library for model risk assessment and model implementation validation purposes.
• Perform quantitative/mathematical/statistical assessment procedures necessary to validate model parameters and performance;
• Keep up to date with academic, technical and industry developments in the field of derivatives model design, development, validation and stress testing, and more general regulatory requirements, in order to assess the compliance and effectiveness of the models;
• Advise risk units or business units on the most appropriate quantitative estimation, validation and stress testing methodologies to use;
• Provide model related support and ad-hoc analysis to traded risk functions or business.

• 3 years experiences in quantitative fields.

• Solid understanding of derivative products and excellent quantitative skills are required. Strong background in financial mathematics (derivatives models, probability theory, mathematics).
• Broad background and deep understanding of one or more derivative asset classes including credit derivative, emerging market derivative, structured fund derivative, MBS, BSM, ALM, interest rate derivative, equity derivative, metal derivative etc, and traded risk models, methodology, and processes.
• Experiences on Canada products and models are strongly preferred. Experience or previous communication with Canada regulator OSFI is big plus.
• Excellent verbal and written skills. Must be able to explain complex and/or technical matters clearly, accurately and simply. Need daily interaction with senior management, business heads, traders, desk quants, model review members, market risk and credit risk managers, product controller, and senior IT developers.
• Demonstrate leadership. Proven project management skills.
• Organized, detail-oriented and self-motivated. Work hard, smart, productive, business driven, be able to delivery under pressure. Ability to work in a team.
• Must have solid C/C++, VBA, or Java programming skills. Knowledge on Matlab, R, SAS, S-Plus etc. is plus.
• PhD in a quantitative or computational filed (Finance, Math, Physics, Financial Engineering, Computer Science) is preferable, but very capable MS in these fields may also be considered.