Quantitative Modeling and Analytics Manager
Posted on Sep 18, 2019 by Request Technology - Craig Johnson
Prestigious Enterprise Company is currently seeking a Quantitative Modeling and Analytics Manager. Candidate will manage development of new capital models for the wide array of financial instruments that I&CM manages. As a member of the team you will join a group of enthusiastic collaborative professionals with diverse backgrounds that use their creativity, technical skills and passion to design solve wide range of practical business problems in finance with the primary focus on Economic Modeling. Modeler should be creative, passionate and collaborative, have strong computational and market risk modelling background. This is an individual contributor role.
Model Development and Research
* Develop consistent economic capital models that can be applied to the financial instruments currently managed by I&CM. These models must incorporate economic capital best practices while simultaneously accounting for the unique characteristics and risks of each financial instrument.
* Work with the model owners whose models are leveraged in the estimation of economic capital.
* Work with the Financial Engineering team to ensure successful implementation of economic capital models in valuation tools used by portfolio managers and other economic capital model users.
* Collaborate with the 1st line Model Governance team to ensure that economic capital models adhere to Company's model governance standards. Most important, work with the 1st line Model Quality Assurance team to develop an effective challenge to all proposed economic capital models.
* Communicate economic capital modelling approaches (including their limitations and assumptions) to the economic capital model users such as portfolio managers and senior management to guarantee that stakeholders fully understand the rational for economic capital proposals and that all relevant characteristics of each financial instrument are captured appropriate by proposed economic capital models.
* Act as an advisor to subordinates to meet schedules and/or resolve technical problems. Often must lead a cooperative effort among members of a project team.
* PhD in Statistics, Economics or a related quantitative field with at least three years of related post-graduate work experience; or Master degree with at least six years of related experience.
* Demonstrated knowledge of applied probability and one or more of valuation models, term structure models and/or economic capital models
* Programming skills in one or more of C, C++, Python, R, MATLAB or related languages
* Solid understanding of regulatory market and credit risk capital measurement approaches
* Exceptional quantitative, empirical analysis, and research skills
* Strong knowledge of econometric models, tools and techniques
* Strong programming skills
* Strong verbal and written communication skills
* Strong analytical skills with orientation to detail