Quant- Market Risk for Trading & Syndication

  • $170k - 220k per year
  • New York, NY, USA
  • Permanent, Full time
  • GQR Global Markets
  • 21 Sep 16

As a growing team that plans to double in size in the next year, we are looking for a AVP-VP level Market Risk candidate who has a background with Credit Derivatives experience.

AVP-VP of Market Risk, VaR Modelling  – New York, NY

Tier 1 Investment Bank   –   Market Risk Management  –  AVP-VP Market Risk  –   Value-at-Risk Modelling  –   Manhattan, NY

 

SALARY RANGE OR SPECIFIED NUMBER + BONUS

Up to $220,000 USD base (DOE) + highly competitive bonus

SUMMARY

As a growing team that plans to double in size in the next year, we are looking for a AVP-VP level Market Risk candidate who has a background with Credit Derivatives experience. This role will not only consist of hands on VaR modelling experience but the incumbent should have a Ph.D. from a top-tier university.

JOB DESCRIPTION

The role:

  • Build VaR models- front line of defense for credit derivatives desk
  • Implement products using pricing engines and models.
  • Day to day support to the Structured Credit Trading Desk
  • Build and validate existing & new complex pricing models across the market risk, specifically VaR Modelling
  • Knowledge of pricing models for CDO’s, CLO tranches, Structured Credit Products, etc.
  • Rebuilding models from scratch, testing, replicating and challenging their performance.
  • Interaction with regulators both internally and externally

Requirements:

  • 1-5 years relevant financial experience
  • Knowledge of credit derivatives
  • Professional programming background in C++, Python
  • A Ph.D. with a strong quantitative related subject.
  • Excellent communication skills in order to express complicated methodologies and theories.

In return they are offering:

  • Huge opportunity to attain full training, hands on exposure within the quant analytics space.
  • An opportunity to work in the quant space with a tier-1 investment bank
  • The intellectual stimulation and challenge of working within growing, cutting edge & globally delivering analytics group.
  • Have daily interaction with the business and be a key part of their unrivalled success, whilst enhance one’s own diversity of credentials and have the chance to work with an elite and prestigious group.