Counterparty Risk Quant (PhD) FX, Derivatives Trading Desk
- Tampa, FL, USA
- Permanent, Full time
- Analytic Recruiting Inc.
- 06 Jul 17 2017-07-06
A Wealth Management firm located in the Tampa area is looking for a Quantitative Analyst/Manager to design, build, implement and manage a new Counterparty Market Risk analytics team focusing on the firm’s: Foreign Exchange, OTC derivatives (swaps, options), Listed Derivatives and Prime Brokerage businesses.
- The Candidate will be asked to create a new Counterparty Risk and Margin team that assesses the firm’s risk exposure to trading counterparties
- Will work closely with senior risk managers to incorporate current market conditions into analyzing the risk profile of the firm’s counterparties
- The Candidate will conduct stress tests of the firms and client’s portfolio’s, make risk assessments and make presentations to senior risk managers.
- The Candidate will be asked to create analytics on new products that the firms high net worth and prime broker clients may be involved with: including knowing where to find market data, market liquidity and market fundamentals
- Manage a Market Risk team that is involved in the full life cycle of model development including model design, technical implementation and model integration.
- Provide subject matter expertise on the latest risk methodologies across all asset classes
- Must have a quantitative PhD
- Must have 10 years of market risk and counterparty risk modeling for a major bank or exchange
- Must have deep understanding of market risk models and methodologies: And one or more of the following: VaR, CVA, PFE, EPE, statistical analysis, derivative valuation and stress testing.
- Must have advanced SQL and data analytic skills
- Must have advanced Python skills to prototype models and statistical programming skills (R, Matlab)
- Preference will be given to candidates with experience modeling fixed income, FX and related derivative products.
- Must have superior oral and written communication skills
Keywords: Prime Brokerage, Quantitative Modeling, PhD, FX, Swaps, Rates, Margin Models, Derivatives Pricing Models, Counterparty Risk, Life Cycle Model Development, C++, Market Risk
Please refer to Job #22669 - and send MS Word attached resume to email@example.com