Counterparty Risk Analyst -Advanced Quantitative Degree- Chicago recruitment
The position involves designing and developing back-test and stress test VaR models and methods for (Futures, Interest Rate Swaps, Swaptions and FX products), conduct empirical studies and make recommendations on risk management system enhancements and spearhead the research and integration of new products into the existing risk management system. The candidate must have 3-5 yrs of relevant Quantitative Risk Management experience, knowledge of VaR , term structure model implementation, programming capability in C++ and Matlab and be very adept at implementing mathematical models. An advanced degree in quantitative discipline is required. Knowledge of Futures and Options trading, clearing and margining, strongly preferred.
Keywords: OTC, Swaps, Swaptions, Margining, Stress Testing, Futures, VaR, Quantitative Analyst, C++, Matlab, models, Clearing
Please reference Job# 19492- EFC and send resumes to Jim Geiger at jeg@analyticrecruiting.com.