Location: NY or NJ
Schedule: Remote to start and onsite at some point in the year
Length: 1 year+
Rate: $1000-$1150 / 9 hour workday
Risk Analytics – Fixed Income Market Risk Quantitative Analyst Consultant
Global investment bank seeking a quantitative analyst / risk modeler with 3-5 years of financial industry experience to join the Risk Analytics team.
The main focus of this position is on Market Risk modeling for fixed income derivative products.
• Acting as the SME and liaising with front office, technology, and market risk managers to implement, review, and signoff on new risk models and existing model upgrades. Making key analytical decisions in regard to market risk modelling for interest rate and FX derivatives.
• Assessing appropriateness of the market risk model outputs by performing time series review, VaR backtesting, PLA test, pricing model benchmark, and stationarity tests. Explaining backtesting breaches. Quantifying the materiality of any model limitations (e.g. RNIV).
• Documenting model implementation details, tests, and findings for model validation review, in accordance with Firm’s Model Risk Management policies and framework.
• Strong background in market risk models and methodologies (e.g. time series analysis, VaR methodologies and backtesting), with 3-5 years of previous experience in a quantitative role at a financial institution.
• Knowledge of LIBOR requirements, and previously experience participating in a LIBOR transition project a plus.
• Good understanding of fixed income pricing models and products.
• Strong programing skills and data handling skills in SQL and R/Python (ability to wrangle large data sets, implement statistical tests, and perform data analysis on test results).
• Excellent communication and presentation skills (ability to engage in concise, effective discussions).
• Excellent written skills (ability to produce well-structured technical model documentation).
• Ability to work without significant direct supervision.
• Knowledge of Numerix and/or Bloomberg a plus.
|Job Category||Banking, Banking & Finance, Finance, Information Technology|