Bonds, MBS quantitative risk opportunity | NY
Location: NYC, USA
S: Up to £130K base + discretionary bonus
This division is run by a very experienced investment banking risk professional who is interested in bringing on someone into his team who will focus on bonds and MBS specifically. The team are involved in various aspects of modelling, review and recommendations within this division.
Responsibilities Requirements
- Key understanding and experience with VaR
- Design of specific risk VaR Models covering corporate bonds, municipal bonds and mortgage-backed-securities.
- Developing and improving the bank’s capital markets securities platform
- Coding core components of the models for Bank's risk system
- Research element: Writing detailed technical documents of the models
- Excellent verbal and communication skills within this dynamic environment
- Discussing model details with management and regulators for model approvals
- Involved in review and validation of all models and run these models through various processes (benchmarking, stress-testing) to ensure accuracy
- Interaction with various teams to assess models for trading limits within the bank
- Product knowledge needed: corporate bonds, municipal bonds and mortgage-backed-securities
- Strong Matlab and/or C++ skills ideally required
Please apply into the below quantexotic link.
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