VP/Director VaR Modeling Quant Analyst
VP/Director level VaR Modeling Quant Analyst required for leading Investment Bank
New York City, USA
Base: $160,000 - $180,000 + excellent bonus and benefits package
My client, a leading US investment bank, is looking to build their cross-asset VaR modeling team with a VP level hire. This team is regarded as one the top performing teams within the institution and due to the newly placed importance on developing the quantitative risk teams, this team has been given mandate to expand. The successful candidate will work on the architechture and development of brand new, state of the art VaR models and methodology. identification of risk factors in financial products and modelling of risk factor dynamics.
The ideal candidate would have the following background:
- Previous experience developing VaR models or market risk models.
- Calculation of models (all asset classes) proposed by the risk modelling team.
- PhD or MSc in hard science subject
- Generate research ideas, undertake thought provoking and commercial research
- Scenario analysis
- Daily VaR calculation
- Solid understanding of basic financial engineering concepts such as risk neutral pricing, yield curve engineering is a must.
- Estimating and evaluating of VaR Methodology precision across all asset classes Experience with C++, VBA, SQL, MatLab
- Candidate will be analysing and benchmarking current models, and be given the opportunity to build their own models, which will be largely used by the trading desk.
- Stress testing current models and identifying any potential risks that might affect the trading products.
- Managing all risk scenarios by planning solutions in advance.
- Supporting and assisting all senior traders, working closely with them on a day-to-day basis.
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