Counterparty Risk Quant (PhD) FX, Derivatives Trading Desk

  • Competitive
  • Tampa, FL, USA
  • Permanent, Full time
  • Analytic Recruiting Inc.
  • 06 Jul 17

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.

Responsibilities:

  • 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

 

Requirements:

  • 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 jeg@analyticrecruiting.com