A top international investment bank is looking to hire a VP Quantitative Modeler integral to their quantitative analysis and technology teams. This Market Risk Modeler will sit on a team responsible for modeling, analytics and trading risk strategies. This includes developing models used to quantitative market risk, but not limited to VaR models, as well as collaborating with risk managers and trading teams to ensure high quality model development and performance, as well as implementing the models. For this role in particular, we are looking to speak with highly quantitative professionals with model development backgrounds and particular experience working in Securitized Products. Located in New York City, this is an opportunity you do not want to miss out on!
What You Will Be Doing:
- Developing and analyzing quantitative risk models for Securitized Products
- Ensuring accurate implementation of these models
- Reviewing existing models and improving upon any issues or shortfalls when necessary
- Ensuring proper model documentation (following SR11-7 standards)
- Evaluating the impact of new models and capital rules
- Researching and understanding the products traded as well as the trading strategies being applied
- Collaborating with model validators to understand results and remediate concerns as needed
What We Need from You:
- At least 4 years of full time working experience with a background in Securitized Products (particularly mortgage backed securities and asset backed securities)
- Experience working with VaR models, specifically for Securitized Products
- Understanding of the risks surrounding structured products and their risks
- At least a masters degree in a quantitative discipline such as mathematics, theoretical physics, econometrics, statistics etc. (PhDs are highly encouraged)
- A background in statistics, time series analysis and probability theory will be of high interest
- Very strong quantitative and statistical modeling skills
- High level of programming skills - C#, C++ or Python is highly encouraged!
