Senior Quantitative Analyst
Senior Quantitative Analyst
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$ 100547 - 197000
1 Vacancy
Job Description
THE DEPOSITORY TRUST & CLEARING CORPORATION SEEKS:
Title: Senior Quantitative Analyst
Job Duties: Support financial models and systems used for risk analysis and management at DTCC. Implement and enhance Backtesting (BT) programs across all CCPs (Central Counter Parties) and DTC which may consists of: a) BT governance and control; b) design implement and maintain BT engines and reports; c) Enhance BT methodology. Work on model performance monitoring program enhancement and introduce innovative ideas to unify the model performance monitoring with Backtesting.
Responsibilities:
- Monitor production backtesting results investigate BT deficiencies
- Develop and maintain BT engine code in Python or in other programming language such as SQL work closely with IT teams to deploy BT engine code into production
- Work closely with quant groups and risk managers to proactively identify model issues through model performance monitoring metrics as well as backtesting metrics
- Perform indepth model performance analysis and deficiency driver analysis for back tests. Provide results to upper management and client facing risk managers
- Perform ad hoc model performance analysis and deficiency driver analysis for Backtest
- Interact and assist other teams such as the model validation team as well as with DTCC internal audit team.
Job Requirements: Masters degree in Quantitative Finance Economics Statistics or other related quantitative field and 3 years of experience in the job or related position. Prior experience to include:
- Quantitative modeling of financial instruments for both equity and fixedincome securities
- Working with financial markets and financial instruments/products (including equities ETFs corp/muni bonds treasuries and mortgages)
- Financial risk management including the use of VaR and backtesting.
- Statistics used in financial risk management (including various statistical distributions hypothesis testing etc..
- Programing languages including SQL and Python.
- Experience with database products including Microsoft SQL Server and Snowflake.
Telecommuting may be permitted a few days a week. When not telecommuting must report to DTCCs office in Jersey City NJ.
LOCATION:Jersey City NJ. Telecommuting may be permitted a few days a week. When not telecommuting must report to DTCCs office in Jersey City NJ.
SALARY:$100547..00 per year.
APPLY:Please email resume with cover letter to DTCC at reference Job Code / Senior Quantitative Analyst/Jersey City NJ
Required Experience:
Senior IC
Employment Type
Full-Time
