VP SIMM Quant
VP SIMM Quant
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$ 130000 - 190000
1 Vacancy
Job Description
Quantitative analyst for developing and managing market risk analytics for SIMM. Candidate will join the Risk Analytics group that partakes in SIMM model development over the full lifecycle of model development: from methodology to design to local implementation and validation. The successful candidate will also provide analysis and feedback on changes to or introduction of new models at the firm.
Responsibilities
- Develop and implement SIMM sensitivities for Fixed Income/Equity vanilla and exotic derivative products.
- Manage maintain and improve SIMM risk sensitivities framework.
- Support the full lifecycle of model development from development documentation to validation
- Perform quantitative research to implement model changes enhancements and remediation plans in 3rd party analytic systems.
- Work with stakeholders across business and functional teams during model development process.
- Assess the methodologies and processes used by modeling teams to develop and manage their models and identify potential weaknesses and the associated materiality of the risk
Qualifications
- Deep understanding of pricing and risk calculations for Fixed Income derivatives.
- Strong analytical skills required to understand quantitative models and to translate that understanding into sustainable library design code development and integration into ITs systems.
- Applicant needs to be familiar with financial markets and the associated market data
- Applicant needs to be comfortable with derivatives transactions terms and conditions data residing in multiple book and record systems
- Strong writing capabilities.
- Proficient programming skills in python (other languages such as R is a plus).
- Database expertise.
- Superior oral and written communication skills.
Experience with Murex Acadiasoft and Bloomberg MARS a plus
Primary Location Full Time Salary Range of $130000 $190000
Required Experience:
Exec
Employment Type
Full-Time
