Quantitative Risk Analyst

Responsibilities

• Daily responsibilities include code release testing, historical data validation, margin and stress testing model validation, and portfolio back-testing.
• The candidate must have the ability to efficiently, effectively, and independently conduct research, analyze problems, formulate and implement solutions, and produce high quality results on time.

• Masters (and above) in Computer Science, Financial Engineering, Financial Mathematics, Mathematics, Physics, or a related discipline.
• Strong quantitative and analytical background.
• Excellent programming, communication, and documentation skills.
• Knowledge of financial markets.
• Knowledge in advanced quantitative risk modeling and knowledge of statistical models in risk management preferred.
• Knowledge in advanced derivatives modeling and knowledge of volatility models preferred.
• Experience with programming languages such as C++/C#, R, VBA, Python, and SQL is also required.
• Preference will be given to candidates who can demonstrate the best practices in developing risk models like Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, Liquidity Risk models, etc.