Develop and enhance quantitative risk models, analytics and applications in support of market risk assessment and regulatory capital calculation in current Basel 2.5 (e.g. VaR, Stressed VaR, Risks Not in VaR) and/or upcoming FRTB (e.g. Standard Approach, Expected Shortfall, Non-modellable risk factor, Risks Not in Model) regulatory framework; Develop and enhance quantitative risk models, analytics and applications for the firm’s Stress Testing including CCAR; Develop model performance monitoring metrics such as benchmarking, backtesting as part of continuous efforts to identify and remediate potential model weakness; Closely work with Global Markets Risk (GMR) and Front-Line Units (FLU) trading desks for internal risk management, Enterprise Capital Management (ECM) for market risk capital requirements, technology partners for model implementation, front-office pricing model quant developers, and Model Risk Management (MRM) for model risk oversight
Requirements:
Advanced degree in quantitative fields such as Mathematics, Financial Mathematics/Engineering, Quantitative Finance, Statistics, Econometrics, Physics, computer science; 2+ years of industry experience; Programming skills, preferably in Python, or equivalent object-oriented programming; Experience in or willingness to learn derivatives pricing and/or statistical analysis of financial data, time series information
Text:
Quantitative Finance Analyst Develop and enhance quantitative risk models, analytics and applications in support of market risk assessment and regulatory capital calculation in current Basel 2.5 (e.g. VaR, Stressed VaR, Risks Not in VaR) and/or upcoming FRTB (e.g. Standard Approach, Expected Shortfall, Non-modellable risk factor, Risks Not in Model) regulatory framework; Develop and enhance quantitative risk models, analytics and applications for the firm’s Stress Testing including CCAR; Develop model performance monitoring metrics such as benchmarking, backtesting as part of continuous efforts to identify and remediate potential model weakness; Closely work with Global Markets Risk (GMR) and Front-Line Units (FLU) trading desks for internal risk management, Enterprise Capital Management (ECM) for market risk capital requirements, technology partners for model implementation, front-office pricing model quant developers, and Model Risk Management (MRM) for model risk oversight Advanced degree in quantitative fields such as Mathematics, Financial Mathematics/Engineering, Quantitative Finance, Statistics, Econometrics, Physics, computer science; 2+ years of industry experience; Programming skills, preferably in Python, or equivalent object-oriented programming; Experience in or willingness to learn derivatives pricing and/or statistical analysis of financial data, time series information
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