Risk Models - Credit Quant Risk Models - Credit Quant …

Selby Jennings QRF
in Manhattan, NY, United States
Permanent, Full time
Last application, 17 Sep 21
Negotiable
Selby Jennings QRF
in Manhattan, NY, United States
Permanent, Full time
Last application, 17 Sep 21
Negotiable
Selby Jennings QRF
A top international investment bank is building out it's modeling and analytics function, and looking to make an experienced hire in the model development space

A top international investment bank is building out it's modeling and analytics function, and looking to make an experienced hire in the model development space. Sitting on the trading floor in a fast paced environment, this team is responsible for developing pricing models, market risk and credit risk models, tools for trading risk management, and techniques to optimize trading decisions across the organization's portfolio risks. Working across various business lines, this new hire will be working with the Credit Products Market Risk team, developing models and providing extensive quantitative technical support for the credit asset classes.

What We Need From You:

  • A PhD in a technical/quantitative discipline (Mathematics, Physics, Engineering) is preferred, at least a Masters Degree in a quantitative discipline is required
  • ~5 years of experience in a relevant function
  • Working experience with market risk models
  • Knowledge of credit derivatives (CLOs, CDOs etc.)
  • Strong model development skills, and a high level understanding of quantitative and statistical modeling
  • High level skills in Python, C/C++ and/or F#
  • Ability to work independently and with a team
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