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Consultant at Careerist Management Consulting
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Quants Modeler - Investment Bank (2-5 yrs)
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
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