A leading securities and derivatives clearinghouse is hiring a Risk Quant to cover Margin Models in the NYC, Chicago, or Dallas office.
This role sits in the firm's Quant Risk Management Group which is responsible for cross-asset Model Development. This individual will build and enhance Margin Models for cash equities, HY credit, MBS, and credit derivatives including CDS and TBAs.
Ad hoc projects include building benchmark and challenger models, as well as pricing, VaR, and stress testing models.
Additionally, this team is responsible for designing model backtesting methodology, performance monitoring metrics, and sensitivity analysis for all models used at the firm. Joining this lean quant group provides opportunity to take on huge responsibility across the firm.
- Research and analyze market risk drivers that impact model development
- Build margin models across asset classes, working closely with quant groups, model validation teams, and risk managers
- Design and implement backtesting methodology enhancements for use across the firm
- Perform ongoing model performance analysis and testing
- PhD strongly preferred; Master's Degree required
- 3+ years experience in risk analytics, model development, model validation, or quant analysis
- Programming skills in Python and SQL; C++ preferred
- Strong understanding of financial markets and equity + fixed income securities
- Flexible 3/2 hybrid work model
- Day 1 health benefits
- Competitive 401k/pension plan