Senior Manager/AVP/VP - XVA Initial Margin/Flow Rates & Market Risk - Quantitative Analytics

Flow Rates, Quantitative Analytics

- Good understanding of bonds, yield curve, forward rates, and risk measures

Programming:

- Basic Python - algorithmic thinking, basic OOP, familiarity with pandas

- Good understanding of time-series data analysis, PCA, regression

- Prior work experience as a quantitative analyst, preferably as a rates quant

- XVA Initial Margin, Quantitative Analytics

- Good understanding of VaR, risk measures, options, swaps, and risk-based pnl

Programming:

- Basic Python - algorithmic thinking, basic OOP, familiarity with pandas

- Good understanding of the Taylor series, multivariate normal distributions

- Prior work experience as a quantitative analyst, preferably as a market risk quant

- Market Risk FRTB, Quantitative Analytics

- Very good understanding of FRTB, VaR, risk measures, options, swaps, risk-based pnl

Programming:

- Basic Python - algorithmic thinking, basic OOP, familiarity with pandas

- Basic understanding of the Taylor series, multivariate normal distributions

- Market Risk FRTB, Quantitative Development

- Basic familiarity with VaR, risk measures, options, swaps, risk-based pnl

Programming:

- Advanced Python - very good in algorithmic thinking, OOP, pandas