Quants Modeler - Investment Bank

Key responsibilities include:

- Market Risk Modeling and Pricing of a wide variety of financial asset classes, PFE and VaR calculations for counterparty credit limit

- Perform backtesting, benchmarking for the current model and design and implement new adhoc stress tests to capture micro-macroeconomic market dynamic

- Interact with technology for market data standard and model integration, and also model risk management group for timely delivery of model maintenance

Qualifications

A successful candidate needs to demonstrate his/her ability to solve complicated modelling problems. A Ph.D. or Master degree in mathematics, physics, engineering, or other quantitative field is a plus, but not an absolute requirement.

Essential experience/skills:

- Strong quantitative background and creative problem solving skills with an ability to describe complex systems in simple terms.

- Advanced experience in programming languages (Python, SQL, R, MATLAB)

- Work experience in pricing of securities and stochastic models is desirable

- Good understanding of the US Securities Market

- Ability to work in a high-pressure environment and a good team player.

- Must be extremely focused, detail oriented, results oriented and highly productive.

- Excellent communication and writing skills.

Key Words

Market Risk, Model Risk, Model Validation, PFE, VaR, Model Design, Stress Testing, Backtesting, Python, SQL, R, MATLAB, stochastic calculus