Senior Quant

An industry leading institution, with an enviable track record supported by its strong commitment to quantitative analytics, are seeking to add a model validation and market risk quant to take a role within their analytics desk. This individual with not only validate models but will also be responsible for pricing and helping asses risk as well.
The Quantitative Analytics Team focuses on quantitative risk management methodologies used to estimate and assess capital requirements for operational risk, credit risk, market risk, interest rate risk, economic risk and other risk types in support of both U.S. and international (Basel II) regulatory compliance, as well as other economic capital assessment and allocation goals.
Since this is a very front office focused role, communication is key! Presentation skills are key!
Location: New York, USA
The role:
• Participate in model validation to endure model risks is correctly identified, assessed and captured by.
• Validate models to ensure the model risk does not exist.
• Perform front office validation of significant models: asset pricing models, FX models, interest rate models, derivative models, equity models, credit portfolio management models, cash flow CDO valuation models, hedging models, credit risk, market risk and economic risk models.
• Understand parameters of Market and Credit Risk to the fullest.
• Exposure to market, credit, liquidity, and operational risk models – including pricing models.
• PhD in Physics, Mathematics, Engineering or an applicable field…Very quantitative focused thesis
• Extensive hands-on experience in a Financial Services firm on a Model Validation or middle/front office Risk team.
• Motivated and capable of validating complex models to the highest degree.
• Excellent modeling, analytical, research and programming skills (C++, SAS, Matlab)
• Strong communication skills both verbal and written
• Good project management skills, with the ability to work independently on multiple tasks and/or projects.
Key words: team lead, model validation, model comparison, model review, validation, validation analysis, market risk, cross asset, Risk, quantitative risk, economic risk, credit risk, hedging models, FX, Interest Rates, capital models.

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