Quantitative Risk Management Consultant

19 Nov 2024

Vacancy expired!

Job Description:
  • 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.

Principal Accountabilities:
  • 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.

Skills / Software Requirements:
  • 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.

Education:
  • Bachelor or Masters in Computer Science, Financial Engineering, Financial Mathematics, Mathematics, Physics, or a related discipline.

  • ID: #23010668
  • State: New York New york city 10001 New york city USA
  • City: New york city
  • Salary: Depends on Experience
  • Job type: Contract
  • Showed: 2021-11-19
  • Deadline: 2022-01-17
  • Category: Accounting/finance