Description
My client, an elite investment bank based in midtown Manhattan, is seeking a quantitative analyst to join their risk & valuation team. The role will be for a 2 year contract, with a strong chance of a permanent placement. The role will pay upwards of $800 a day ($200k p/a equivalent), depending upon experience.Responsibilities will include:
* Model Review - independently review and approve the Front Office models required for official reporting purposes, traded risk models (Market Risk and Counterparty Risk), ALCO Models and Asset Management models. The members work closely with traders, desk quants, risk managers, IT developers, etc.
* Analytics - support to Product Control in the proposition, refinement and implementation of fair value adjustments.
* Quantitative support for Product Control and Traded Risk Management.
* Development - implementation and support of quantitative control tools for infrastructure.
* 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 systems, and writing appraisal reports.
Skills/ requirements:
*Must have a PhD in a quantitative or computational filed (Finance, Math, Statistics, Physics, Financial Engineering, Computer Science).
* About 3-10 year experiences in quantitative fields is required. 3+ year experiences in Asset Management model development or validation is strongly preferred. Knowledge of Sungard APT system is plus.
* Broad background and deep understanding of Asset Management and their models, methodology, and processes including asset allocation, portfolio construction/optimization and value at risk (VaR).
* 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 programming skills such as C/C++, VBA, SQL, Python, Matlab, R, SAS, S-Plus etc.
If this seems like a good fit, please send over your resume to my email so we can discuss the role further,
Thanks,
Jacob
To find out more about Huxley Associates please visit www.huxley.com