A leading multinational Investment Bank is looking to hire a Quantitative Analyst within their Quantitative Analytics team to aid in the development and support of their risk, capital and risk-weighted asset models within Market Risk. This role specifically covers their growing Securitized Products trading business and will be instrumental in the expansion of their risk models for Collateralized Mortgage Obligations. This team is especially hands on, with a very high bar and is looking for a candidate with strong modeling experience, programming knowledge and communication skills as they are responsible for the development and implementation of their models. Located in New York City.
What You'll Be doing:
- Model Development and maintenance of regulatory and internal risk models for Securitized Products (ex. VaR, IRC, CRM and FRTB)
- Creating theoretical modeling, empirical-testing, historical back-testing, statistical analysis of relevant market data
- Working on numerical implementations of analytical modules, models and methodology documentation
- Providing high level analytical support for risk managers
What We Need to See in You:
- At least a Masters degree in a quantitative discipline
- At least three years of experience in modeling and development experience in Risk methodology
- At least three years of experience in Securitized Products (Agency CMOs highly encouraged and sought after)
- 3 years of hands on programming experience in Python and C++ outside of academia
- Experience in developing, documenting or validating market risk or quantitative pricing models following SR11-7 standards
- Knowledge of financial products and VaR type models
