Position
Quantitative Developer


Recruiter
Selby Jennings


Location
New York, United State


Salary
Competitive


Date
26 June 2017


Apply now
This contractor position will be conducting a critical part of the bank’s in-house margin model development for corporate and sovereign single name CDS and CDS Index. The margin model outcome will be used in charging initial margin amount to clients. Another key contribution will be on development of analytical processes to perform on-going monitoring of model performance through Benchmarking against VaR and Backtesting against P/L (or change in MTM). The incumbent shall possess excellent quantitative / analytic skills and communication skills to deliver concrete/clear requirements to various Technology teams for implementation and to prepare/discuss model documentations with Model Risk Management.

Responsibilities:

Perform statistical analysis to calibrate shocks for various margin components to be used in margin calculation using historical time series.

Review current methodology to enhance margin adequacy.

Prototype models for technology team’s implementation and test technology team’s implementation to ensure margin accuracy.

Develop a processes to perform benchmarking and backtesting on a daily basis. Identify, analyze, explain any overages.

Support ad-hoc analysis for model documentations/submissions and aid in addressing required action items raised by model risk management group.

Required Skill:

PhD or Masters degree in quantitative fields such as financial engineering, mathematics, statistics, physics, computer science, or equivalent.

Advanced programming skills in python.

Solid understanding of derivatives pricing.

In depth understanding of Value at Risk and statistical estimation methods.

Strong communication (both written and verbal) and collaboration skills. (this project involves communicating with various groups within the firm)

Experience in quantitative modeling or validation experience.

Effective thinking skill to be able to independently and proactively identify/suggest/resolve issues.
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