Fixed Income Econometrician recruitment
The Econometrician is responsible for designing, developing and testing new econometric models and other quantitative procedures to be utilized in risk/pricing analysis under minimal supervision.
Principle Responsibilities:
- Developing and enhancing VaR and stress test methodologies
- Designing additional statistical back-testing measures
- Identifying potential model issues by analyzing the results of the back tests and stress tests
- Participate in the development of risk management methodologies by enhancing existing analytical models and focusing on improving the econometric aspects of the research efforts
Experience:
- 5+ years of experience in financial data modeling / analysis
- Experience in working with VaR
Knowledge/Skills:
- Solid econometric modeling and applied statistics skills (i.e. - Time Series, GARCH, stochastic volatility and forecasting, cross sectional modeling, etc.).
- Hands-on experience with quantitative methods such as VaR, interest rate models, model implementation and its application
- Familiarity with equity fixed income products. Derivatives a plus
- Ability to operate autonomously, as well as be an effective member of a broader team.
- Good understanding of probability theory, stochastic processes
- Excellent communication and presentation skills.
- Hands on experience with R or SAS, SQL is a plus.
I love this client, it is a Wall Street environment with lower stress levels and working hours. They’ve embarked on some very sophisticated ERM initiatives over the last three years. I placed the former Econometrician in this same organization two years ago and he is leaving to work at a hedge fund. So this can be a stepping stone for you or a long term place to work with greater stability and the ability to be home by six to coach your child’s soccer team.
Kind regards,
Kathleen
http://www.linkedin.com/in/kathleengriffiths/