SIMM Quantitative Analyst Consultant

New York, New York City, NJ
Posted 1 month ago

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 


SIMM Quantitative Analyst Consultant
Quantitative analyst for developing and managing market risk analytics for SIMM. Candidate will join the Risk Analytics group that partakes in SIMM model development over the full life-cycle of model development: from methodology to design to local implementation and validation. The successful candidate will also provide analysis and feedback on changes to or introduction of new models at the firm.

• Develop and implement SIMM sensitivities for Fixed Income/Equity vanilla and exotic derivative products.
• Manage, maintain and improve SIMM risk sensitivities framework.
• Support the full life-cycle of model development from development, documentation, to validation
• Perform quantitative research to implement model changes, enhancements and remediation plans in 3rd party analytic systems.
• Work with stakeholders across business and functional teams during model development process.
• Assess the methodologies and processes used by modeling teams to develop and manage their models, and identify potential weaknesses and the associated materiality of the risk
• The candidate should hold at least a masters degree in quantitative subject; advanced degree is a plus.
• Deep understanding of pricing and risk calculations for Fixed Income derivatives.
• Strong analytical skills required to understand quantitative models, and to translate that understanding into sustainable library design, code development and integration into IT’s systems.
• At least 10 years of experience in quantitative modeling for derivatives.
• Strong project, management and organizational skills.
• Strong writing capabilities.
• Proficient programming skills in python (other languages such as R is a plus).
• Database expertise.
• Superior oral and written communication skills.
• Experience with Murex, Acadiasoft, and Bloomberg MARS a plus.


Job Features

Job CategoryBanking, Banking & Finance, Finance, Information Technology

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