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- Candidate will assist the Clearing Department on day-to-day activities in support of quant risk team.
- The Quantitative Risk Team in the Risk Management Department is responsible for developing, analyzing, and back-testing models for clearing initiatives.
- Daily responsibilities include code release testing, historical data validation, margin and stress testing model validation, and portfolio back-testing.
- The candidate must have the ability to efficiently, effectively, and independently conduct research, analyze problems, formulate and implement solutions, and produce high quality results on time.
- Strong quantitative and analytical background.
- Excellent programming, communication, and documentation skills.
- Knowledge of financial markets.
- Knowledge in advanced Quantitative Risk Modeling and knowledge of statistical models in risk management preferred.
- Knowledge in advanced derivatives modeling and knowledge of volatility models preferred.
- Experience with programming languages such as C/C#, R, VBA, and SQL is also required.
- Preference will be given to candidates who can demonstrate the best practices in developing risk models like Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, Liquidity Risk models, etc.
- Bachelor or Masters in Computer Science, Financial Engineering, Financial Mathematics, Mathematics, Physics, or a related discipline.
- ID: #22961558
- State: New York New york city 10001 New york city USA
- City: New york city
- Salary: Depends on Experience
- Job type: Contract
- Showed: 2021-11-18
- Deadline: 2022-01-16
- Category: Accounting/finance