Sr. Quantitative Analyst

Risk, CVA, risk, BAU, SQL, Finance, Statistics, bootstrapping curves, black-scholes modelling, constructing volatility surfaces, Risk factor
Contract W2, Contract Independent, Contract Corp-To-Corp, 18 Months
Depends on Experience
Work from home not available Travel not required

Job Description

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
Location-Charlotte NC

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

Posted By

Narinder Singh

Dice Id : 10126196
Position Id : 6063118
Originally Posted : 7 months ago
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