Job Listings
Quantitative Researcher » Senior Analytics Quantitative Analyst
Senior Analytics Quantitative Analyst
Location: NY Metro
$300,000-$500,000
Description:
Our clients are seeking a strong quants to join their Credit Risk teams.
Responsibilities Include:
- Implement credit exposure stress testing methodologies and provide in‐depth analyses of stress test results.
- Develop new approaches for back testing exposure models and provide detailed analysis of the back‐test results.
- Work directly with credit officers to evaluate proposed trades and reach agreement on their credit risk intensity.
- Evaluate counterparty exposure of proposed derivative trades that are too complex to be covered by the firm’s existing exposure models. In this capacity, analyst will work closely with credit officers and with traders as the deal is structured.
- Develop prototype models to calculate exposure of new or exotic products.
- Perform analysis of counterparty exposures to ascertain the accuracy of the exposures for limit monitoring purposes.
Requirements:
- Advanced degree (M.S. or PhD) in a quantitative discipline, e.g., economic, mathematics, or finance with a quantitative undergraduate background.
- 4 to 6 years work experience in a quantitative research group at a commercial bank, investment bank, or consulting firm.
- Experience with Monte Carlo simulation and numerical analysis (e.g., numerical integration, optimization techniques) would be desirable, but not required.
- Statistical skills (e.g., probability theory, time series analysis) and facility with statistical packages would be desirable but are not required.
- In‐depth knowledge of option pricing and stochastic calculus.
- Expertise with programming languages (preferably C/C++).
- Experience with mathematical analysis packages (e.g., MATLAB) is desirable but is not required.
Job Reference #: DF121
The Hagan-Ricci Group
Phone: (212)-681-6333
http://www.hrg.net