Quantitative Risk Director

Overview

Hybrid
$180,000 - $200,000
Full Time

Skills

QRM
Python
SQL
MDS
VaR
FIXED INCOME

Job Details

JOB DESCRIPTION:

FIXED INCOME IS A MAJOR PLUS

  • Quantitative Risk Management, QRM is responsible for the development and support of models and methodologies for the quantification of risk.
  • QRM also carries out quantitative analysis and other analytical support to firms' risk management and other business needs.
  • Quantitative Risk Management (QRM) is responsible for the development and support of models and methodologies for the quantification of risk.
  • QRM also carries out quantitative analysis and other analytical support for xxxx risk management and other business needs.

RESPONSIBILITIES:

  • Maintain and enhance in-house fixed income risk models
  • Produce model performance metrics and analytics to support communications with both internal model users and external supervisors
  • Explain model behavior, carrying out scenario analyses, develop new quantitative analysis tools
  • Maintain key data source for groups model development and quantitative analyses.
  • Mitigates risk by following established procedures and monitoring controls, spotting key errors and demonstrating strong ethical behavior.

QUALIFICATIONS:

  • Master s degree or higher in a quantitative field of study
  • 5+ years of hands-on experience in quantitative models, research, with deep understanding in fixed income market.
  • Fluent in Python and SQL
  • Knowledge of Treasury Securities and/or MBS pricing and VaR modeling a big plus.
  • Strong Analytical, quantitative and problem solving skills, as well as demonstrated research skills
  • Good communication skills, both oral and written.
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