Senior Quantitative Analyst
Senior Quantitative Analyst
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Salary Not Disclosed
1 Vacancy
Job Description
Skill Matrix to be filled by Candidates:
Mandatory Skills
Years of Experience
Year Last Used
Rating Out of 10
Fixed Income Modeling and Risk Modeling
Market Risk Concepts (VaR Greeks PnL attribution)
Python Programming for Quantitative Finance
Model Validation and Regulatory Compliance (e.g SR 11-7
Position Details
Requirement
Role
Senior Quantitative Analyst - Fixed Income and Market Risk
Location (Need Local Candidates only)
NYC NY (Need local candidates only) 3days Onsite)
Type of Hire - Contract/ C2H
Contract
Job Description
Description
- Proven experience in pricing and risk modeling for fixed income trading products with a focus on leveraged loans.
- Strong understanding of model theory calibration techniques and dynamics of one-factor interest rate models including the Hull-White model.
- Advanced Python programming skills with hands-on experience in testing financial models.
- Experience with Numerix or comparable vendor-based modeling systems.
- Proficient in designing and validating Profit and Loss (PnL) attribution frameworks.
- Deep knowledge of market risk concepts and regulatory standards including Value at Risk (VaR) using historical simulation model sensitivity analysis (Greeks) and model validation practices aligned with SR 11-7 guidelines.
- Demonstrated expertise in model development documentation and implementation guides.
- Excellent communication skills - both verbal and written.
- Collaborative Team player with a proven track record of taking initiative and delivering results.
- Excellent skills with Excel Word and PowerPoint are mandatory.
- Advanced degree (Master s or Ph.D. in a quantitative discipline such as Finance Engineering Physics Mathematics Statistics Computer Science or Quantitative Finance with a strong background in modeling.
- Minimum of 7-10 years of experience in developing and/or validating trading book market risk models within the financial services industry.
Fixed Income Modeling and Risk Modeling,Python
Employment Type
Full Time
