Financial modelling and Econometrics Director
Fitch
Dual-headquartered in New York and London, Fitch Ratings is a global rating agency dedicated to providing value beyond the rating through independent and prospective credit opinions, research, and data. Offering a world of knowledge and experience behind every opinion, we transform information to deliver meaning and utility to investors, issuers, and other market participants. Fitch Ratings' global expertise draws on local market knowledge and spans the fixed-income universe. The additional context, perspective and insights we provide help investors make important credit judgments with confidence.
Fitch Solutions provides a range of industry-leading products and services to the global financial community. In addition to offering proprietary market-based content, we distribute the ratings, research, and financial data of Fitch Ratings through a variety of flexible platforms. With innovation and experience behind every solution we bring to market, our offerings are designed to meet the diverse needs of the fixed-income markets.
Fitch Ratings and Fitch Solutions, along with
Fitch 7city Learning, are part of the Fitch Group, a global leader in financial information services. Fitch Group is a jointly owned subsidiary of Paris-based Fimalac, S.A. and New York-based Hearst Corporation
Fitch complies with all laws governing employment in each jurisdiction in which it operates, and provides equal opportunity to all applicants and employees. All applications will be considered without regard to race, color, religion, gender, national origin, age, disability, marital or veteran status, sexual orientation, and other status protected by applicable laws.
Fitch Solutions is committed to delivering value beyond the rating by providing a range of fixed-income products and professional development services to the global financial community. In addition to offering proprietary content, the firm also distributes the ratings, research, financial data and analytical tools of Fitch Ratings through a variety of platforms. With innovation and experience behind every product and service we bring to market, our flexible offerings are designed to meet the diverse needs of the credit markets.
Drawing upon a wealth of expertise, skills, and market insight, we provide financial professionals worldwide with the intelligence they need to make more informed risk management and investment decisions.
Fitch Solutions is part of the Fitch Group, a jointly owned subsidiary of Fimalac, S.A. and Hearst Corporation.
Fitch complies with federal, state, and local laws governing employment, and provides equal opportunity to all applicants and employees. All applications will be considered without regard to race, color, religion, gender, national origin, age, disability, marital or veteran status, sexual orientation, and other status protected by applicable laws.
Essential Functions
The Global Product RD team of Fitch Solutions is looking for a Financial modelling and Econometrics specialist to join the effort in a number of projects including Probability of Default and Implied Rating modelling, CDS liquidity and implied CDS modelling, multi-currency Credit Default Swap valuation, short term forecasts, CDS vs Corporate Bond basis analysis and analysis of market risk premia. Pricing knowledge of credit derivatives such as credit default swaps and corporate bonds is required, extending to fixed income instruments, as well as knowledge of basic option pricing techniques and basic econometrics techniques. Knowledge of the market data providers systems such as Bloomberg is a strong plus. Experience in statistical analysis of long time series and extended datasets is a plus, as is the knowledge of statistics packages such as SAS/STATA/S-plus and of general coding tools such as VBA/Excel, and C++/C#/R and SQL.
The role is at Associate Director/Director level and is meant to be a hands-on role, working on data analysis and on the creation and support of analytics for the products and business development team of Fitch Solutions.
The role naturally involves interaction with the commercial products team and with IT, so that the candidate is supposed to foster cooperation and team interaction.
Requirements
Good quantitative skills from a risk and valuation perspective - ideally a combination of econometrics, option pricing, especially in credit, risk management, credit default swaps valuation, with hands-on implementation skills.
Coding and statistical packages. Hands on coding experience in VBA/Excel, and usage of statistical packages such as SAS etc. C++ / C# are a plus.
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