DESCRIPTION:

Duties: Develop mathematical models for Value at Risk (VaR) and Stress VaR for commodity, FX, and Rates exotics products. Develop and enhance quantitative tools in analyzing profit-and-loss function of financial products, and statistical properties of instruments' price drivers. Document modeling choices and corresponding statistical analysis. Develop on-going testing regimens to ensure that the models behave according to expectations through time. Collaborate with Model Risk Review & Governance during internal model review, and on-going model governance processes. Engage with Market Risk Governance, Market Risk Coverage, valuation-model developers and the trading desks to understand products and strategies. Design and develop software frameworks for analytics and their delivery to systems and applications.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Financial Engineering, Finance, Mathematics, or related field of study plus one (1) year of experience in the job offered or as Quantitative Research, Quantitative Analyst, Financial Analyst, Market Risk, Regulatory/Capital Reporting, or related occupation.

Skills Required: This position requires one (1) year of experience with the following: performing statistical testing using independence tests, chi-square tests, regression, classification, correlation, p-value, and time series analysis including stationarity, moving average, and autocorrelation techniques; performing data structuring, data manipulation, and data queries on financial data using Python and SQL; performing data analysis and visualizations using Python Pandas, Jupyter, scipy, numpy, and matplotlib; option pricing techniques using Black-Scholes model and Put-Call parity; probability theory, Monte Carlo Simulations, Brownian motion, and stochastic differential equations applied to financial products; testing mathematical models on Value at Risk (VaR) and explaining market risk to market risk management; calculating VaR and stress VaR; analyzing VaR model performance; explaining profit and loss of financial products to market risk management and identifying major driving risk factors; explaining model behaviors and presenting testing results to clients and stakeholders.

Job Location: 270 Park Avenue, New York, NY 10017.

Full-Time. Salary:  $200,000 - $285,000 per year.