Quantitative Risk Analyst - Quant Research - Investment Bank

Opening with Investment Bank - Quantitative Risk Analyst (Quant Research)

Skills & Software Requirements -

- Experience with some programming languages such as C++/C#, R, VBA and SQL is also required.

- Must have Master/Phd degree in Math or statistics or financial Engineering degree from a good institution with 1-2 years of experience

Role Purpose :

The Quantitative Risk Analyst is responsible for working in a team that develops Risk/Pricing Models evaluating counterparty exposures to the Clearing House, including models related to Pricing, Value-at-Risk, Stress Testing, Liquidity, Regulatory Capital, & also developing tools for Portfolio Analytics.

- He/She works in a team that performs back testing & statistical analysis required to ensure the adequacy of margin coverage & justify other model assumptions.

Principal Accountabilities -

- Conduct empirical studies and make recommendations on margin levels, modeling issues, and other risk-mitigation measures. Ensure that the model is up to date with the proven theories in the field.

- Ensure deployment, testing and continuous improvement of these models within the Production Infrastructure.

- Present results to Sr. Management and/or Risk Committees.

- Work on a team that enhances existing risk models as well as designs/prototypes new models across different asset classes like OTC and Futures (e.g. Pricing, VaR, Backtest, Stress, Liquidity, etc.).