Responsible for independently conducting quantitative analytics and complex modeling projects. Leads efforts in development of new models, analytic processes or system approaches. Creates documentation for all activities and may work with technology staff in design of any system to run models developed. Incumbents possess excellent quantitative/analytic skills and are able to influence strategic direction, as well as develop tactical plans.
Responsibilities may include:
- Validate equity derivative models developed by Front Office Equity-Linked Quant Group.
- Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated.
- Identify, quantify and follow model risk associated with the model being validated
- Develop benchmark models in C++ for model review and model risk management purposes.
- Prepare validation report and technical documents for the model being validated.
- Assist market risk managers on trade approvals and finance on price verification methodologies.
- Help on maintaining model inventory and conducting ongoing model performance monitoring
- Masters or foreign equivalent in Computational Finance, Mathematics, Statistics, Physics or related degree.
- 1+ years experience in financial markets.
- Familiarity with exotic equity derivatives is a must.
- The candidate must have graduate-level research experience or coursework in the following: derivatives modeling; stochastic calculus; Partial Differential Equations; Statistics; Probability; Real Analysis; Numerical Analysis; Monte Carlo Methods; VBA and C++.
- Any suitable combination of education, training, or experience is acceptable.