Company
Comprehensive RecruitingLocation
USA-NY-New York CityRemuneration
Outstanding compensation and benefit package.Position Type
PermanentEmployment type
Full timeUpdated
27-Oct-2013eFC Ref no
1190700
Global financial firm is looking to
add a Quant Analyst with strong experience in Interest Rates to their
Quantitative Risk Management Group.
This person will be part of a strong
group that is responsible for designing, developing and testing new
models and enhancing the firm's existing models. Additional
responsibilities for the role include identifying risk issues related to
Interest Rates; building, enhancing and validating Interest Rate
Models, pricing models and risk models to support the business. This
person will participate in the development of risk management tools
(Greeks, stress test, back test). Additionally this person will design
and develop risk and pricing models across various fixed income
classes.
Requirements for the role include a PhD in a quantitative field along 2-5 years of financial experience with strong knowledge and experience with Interest Rates. Candidates must have a strong knowledge in quantitative finance such as term structure models, volatility models, options pricing, Monte Carlo simulation, binomial and trinomial tree and finite difference methods. Strong knowledge of risk models such as VaR, expected shortfall and Greeks. Must have a strong understanding of various financial products, market conventions and risk management. Candidates must have an exceptionally strong math background with experience in probability theory, stochastic processes, time series, etc. Experience with C++ and/or SQL preferred.
Requirements for the role include a PhD in a quantitative field along 2-5 years of financial experience with strong knowledge and experience with Interest Rates. Candidates must have a strong knowledge in quantitative finance such as term structure models, volatility models, options pricing, Monte Carlo simulation, binomial and trinomial tree and finite difference methods. Strong knowledge of risk models such as VaR, expected shortfall and Greeks. Must have a strong understanding of various financial products, market conventions and risk management. Candidates must have an exceptionally strong math background with experience in probability theory, stochastic processes, time series, etc. Experience with C++ and/or SQL preferred.
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