QUANT/MARKET RISK

Quantitative Analyst
Market Risk ManagementQuantitative Analyst
Market Risk Methodology
Job Description:
This person will have the responsibility for Market Risk Methodology. They will adopt more advanced methods for many asset classes. This person will lead Market Risk Methodology and create best practices.Solid Quant skills with Risk Systems experience including preferably Risk Watch. Experience building risk models for several business lines, new business and development of new methods for new businesses. Will take on new initiatives relating to Market Risk. General Fixed Income product experience including IRD/CRD/Structured Credit/Metals/Commodities. Equity Derivatives experience is preferable.Person will document existing Risk Methodology, expand and enhance existing methodology across multiple asset classes within the bank.
REQUIREMENTS
Skills / Qualifications:Solid understanding of derivative products is required.
Experience and Expertise in structured fund (hedge fund or fund of fund) derivatives, equity derivatives, and interest rate term structure modeling is a must.Expertise in interest rate derivatives, currency derivatives, and credit derivatives, and VAR model is a plus.
Solid tech with Risk Systems experience including preferably Risk Watch.Excellent verbal and written skills are required.
PhD/ABD/MS in a quantitative or computational filed (Math, Physics, Financial Engineering, Computer Science) is preferable.