Quantitative Risk Management Associate
Posted on Jun 22, 2022 by Request Technology - Craig Johnson
*We are unable to sponsor for this permanent Full time role*
*Position is bonus eligible*
Prestigious Financial Company is currently seeking a Quantitative Risk Management Associate. Candidate will support the development and maintenance of risk models for margin, clearing fund and stress testing: model analytics and performance monitoring; model prototyping and testing; and model implementation. Candidate collaborates with other quantitative analysts, business users, data & technology staff, and model validation colleagues to implement new models and enhance existing models.
To perform this job successfully, an individual must be able to perform each assigned essential duty satisfactorily:
- Support the development of models for pricing, risk quantification and stress testing of financial products and derivatives.
- Review documentations (whitepapers) for the models, model prototypes and model implementation.
- Support model performance testing, including portfolio back-testing using historical data.
- Review implementation of models and algorithms focusing on requirement verification, coding, and testing quality.
- Participate in model code reviews, model release testing (including margin impact analysis and baseline support and troubleshooting during model library integration with production applications) and production support.
- Support the launch of new products.
- Provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations.
- Communicate model analysis to professionals and collaborate with cross-functional departments.
Basic quantitative skills, ability to demonstrate good understanding in the following technical areas:
- Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra)
- Econometrics, data analysis (eg, time series analysis, GARCH, fat-tailed distributions, copula, etc.) and machine learning techniques
- Numerical methods and optimization; Monte Carlo simulation and finite difference techniques
- Risk management methods (value-at-risk, expected shortfall, stress testing, back testing, scenario analysis)
- Financial products knowledge: good understanding of markets and financial derivatives in equities, interest rate, and commodity products.
- Basic programming skills: Python, Matlab, SQL.
- Problem-solving skills: Be able to identify a problem's possible source, conduct study and provide reasoning in estimating severity and impact.
- Ability to challenge model methodologies, model assumptions, and validation approach.
- Experience in technical and scientific documentation (eg, white papers, user guides, etc.).
- Business-oriented and responsible.
- Good team player.
- Experience in database technology and query languages ( SQL).
- Experience in a Scripting language such as Python or MATLAB is required.
- Experience with numerical libraries and/or scientific computing is required.
- Some exposure or experience with Tableau as well as code repository, build and deployment tools (eg, Git, GitHub, Jenkins).
- Experience with software design: effective application of design patterns, experience in object-oriented design.
- Experience with Linux is preferred, office technology such as PowerPoint, Confluence, Word, and Excel is expected.
Education and/or Experience:
- Master's degree or equivalent is required in a quantitative field such as computer science, mathematics, physics, finance/financial engineering. PhD degree preferred.
- Zero to five years of experience in quantitative areas in finance and/or development experience in model implementation and testing. Some experience w/Financial Services is required.
Certificates or Licenses:
- FRM, CFA, etc., are desirable, but not required.