Quantitative Analyst, Director Level – Commodities, Energy – Leading Financial Services Firm
Top financial services firm is seeking an expert quantitative analyst for a Director level role in their Commodities business. The director will be responsible for leading the development efforts for risk and pricing models, including models related to pricing, VaR, liquidity, regulatory capital, stress testing, etc. The director will also lead the development of analytical tools and back-testing strategies. S/he will also be interacting with the tech department to lead efforts of testing and implementing risk models. S/he must also keep abreast of risk management policies and other regulatory requirements.
Chicago OR New York, USA
Responsibilities:
- Leading the improvement of existing risk models and designing new models across various asset classes
- Leading the team’s efforts in testing and improving models
- Ensuring that models are up-to-date and compliant with regulations
- Communicating with senior management and risk committees
- Managing and mentoring junior quantitative staff to develop skills
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Requirements:
- Minimum Masters degree (MS/MBA) in a quantitative discipline (i.e. Mathematics, Statistics, Computer Science), PhD preferred
- Min 5+ years of relevant experience in pricing complex and exotic derivatives and performing statistical analysis
- Min 5+ years of relevant experience in developing risk models for commodities/futures
- Preferred: experience within energy and energy derivatives
- Preferred: desk quant experience (more focus on pricing complex derivatives)
- Highly preferred: strong knowledge and experience in rates, credit, FX asset classes and PDE, stochastic calculus, and probability theory
- Computer skills: C++, C#, Matlab, VBA, SQL
- Excellent communication skills (written, verbal, presentation)
Keywords: risk analyst, senior, director, quantitative risk, risk analysis, commodities, energy, futures, derivatives, risk modeling, pricing models, stress testing, back-testing, interest rates, credit, FX, risk management, quantitative risk management, risk quant, VaR, value at risk, C++, C#, Matlab, Excel, VBA, SQL, Chicago, New York, USA
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