The opening requires (VaR, CVA, FRTB IMA) in addition to the above skills. It is located in Charlotte NC
As a Quantitative Analyst, you will use your Subject Matter Expertise to help clients achieve their goals.
Position- Sr. Quantitative Analyst
What You'll Get to Do:
• Utilize technology in support of computationally intensive routines, such as VaR, CVA, FRTB IMA etc., that support regulatory and capital efficiency
• Analytics platform support
• Time series data quality – develop statistical functions (linear regressions) and libraries to identify data quality issues
• Enhanced Value at Risk Methodology
• Define enhanced value at risk model and perform quantitative analysis and testing
• Define risk factor representation
• Scenario generation
• Develop/perform tests for risk models (PLA hypothetical portfolio)
What You'll Bring with You:
• 5+ years of experience in the financial services industry in a quantitative field, preferably with experience in model development/review, risk modelling and portfolio optimization.
• Bachelor's degree in a technical field such as Statistics, Econometric, Computer Science, Operations Research, Engineering, or Mathematics.
• Core experience in technical risk services and software deployment in capital markets, hedge funds or software providers
• Solid interpersonal skills and ability to synthesize complex topics into key points for discussion
• Experience with Value at Risk models and technical components
• Quantitative experience: Experience bootstrapping curves, Black-Scholes modelling, constructing volatility surfaces, Risk factor definition, design and proxy identification (where appropriate) in support of model build, testing and production deployment