About this role
DESCRIPTION:
Duties: Develop state-of-the-art analytics and risk management tools for counterparty credit risk and margin. Interact with business end users and collaborate with the XVA modeling team. Design and implement cutting-edge quantitative methods and analytical tools, provide modeling support, and work with technologies across the entire model development lifecycle. Provide modeling support to end users from the Counterparty Credit Risk and the Collateral Management & Optimization groups. Leverage technology across the entire model development lifecycle from initial implementation to model deployment and release testing. Work with High Performance Computing (HPC), including cloud computing, GPU, and automatic differentiation. Automate and apply data analytics to improve processes.
QUALIFICATIONS:
Minimum education and experience required: Master's degree in Computational Finance, Mathematical Finance, Statistics, Quantitative Finance, Math, Physics, Computer Science, Computer Engineering, or related field of study plus 2 years of experience in the job offered or as Quantitative Research, Associate, Quantitative Associate, Quantitative Analyst, or related occupation. The employer will alternatively accept a PhD in Computational Finance, Mathematical Finance, Statistics, Quantitative Finance, Math, Physics, Computer Science, Computer Engineering, or related field of study and no experience in the job offered.
Skills Required: This position requires experience with the following: Researching and developing quantitative finance models for derivative pricing and margin calculations; Supporting and backtesting margin models; Supporting trading functions and risk managers by explaining and troubleshooting quantitative models; Implementing quantitative models in object-oriented programming languages including C++ and Python; Retrieving financial data and performing statistical analysis using programming languages including Python and Excel.
Job Location: 270 Park Avenue, New York, NY 10017.
Full-Time. Salary: $200,000 - $285,000 per year.