Quantitative Risk Management Associate

*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.

Responsibilities:

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.

Qualifications:

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.

Technical Skills:

• 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.