Senior Quantitative Analyst

JOB DESCRIPTION:

• This Senior Quantitative Analyst in the Quantitative Risk Management department will be responsible for model development, model performance monitoring (MPM) and Backtesting (BT).
  
• This Associate Director will work on monitoring the performance of existing models and assist in enhancing the MPM program across all CCPs and DTC.
  

RESPONSIBILITIES:

• Perform MPM and work on its enhancement.
  
• Work closely with model owners, backtest team and MPM team to proactively monitor the performance of current models, maintain and enhance the existing monitoring reports, assist in designing the model performance monitoring process as the new models get approved, identify, and raise model performance issues in a timely manner and provide suggestions and solutions to improve the model s performance.
  
• Perform ad-hoc model performance analysis
  
• Perform analytical analysis such as attribution analysis to explain stress testing risk metrics results
  
• Be accountable for the MPM program. Review the numbers that are used for generating management and regulatory reports.
  
• Assist Backtest team when required models
  

Requirements

QUALIFICATIONS:

• Minimum 3-5 years of relative experience, ideally in risk analytics, model validation, model performance monitoring or front office quantitative modeling.
  
• A Ph.D. or a master s degree in quantitative finance, economics, or other quantitative fields
  
• Prior experience on quantitative modeling is helpful and the candidate should have a general knowledge about the financial market, products, risk metrics and VaR modeling /back testing approaches.
  
• Strong programing skills in languages such as SQL, Python, R, SAS, Access, VBA, etc. Knowing C++ is a plus.
  
• Must have excellent oral and written communication skills, interpersonal skills and possess ability to work in an efficient and organized way, both independently and within a team.
  
• Motivated and have a sense of accountability and ownership. Proactively think of solutions and resolve problems.
  
• Ideally the incumbent should be familiar with the regulatory requirements in terms of model risk management (SR11-7, etc.)