• USD105000 - USD175000 per year + Bonus
  • Manhattan, NY, USA
  • Permanent, Full time
  • Selby Jennings QRF
  • 2018-09-24

Sr. Quant Analyst - Economic Capital Modeling

  • Location: Manhattan, NY, USA
  • Salary: USD105000 - USD175000 per year + Bonus
  • Job Type: Full time

Highly regarded premier financial services firm, voted as one of the best companies to work for globally, is expanding the Economic Capital Group within the Capital Markets division. The team is responsible for developing new capital models across financial instruments that the division manages. On a day to day, the team designs and develops economic capital models which account for the unique characteristics and risk of the financial instruments within the Capital Markets division.

Highly regarded premier financial services firm, voted as one of the best companies to work for globally, is expanding the Economic Capital Group within the Capital Markets division. The team is responsible for developing new capital models across financial instruments that the division manages. On a day to day, the team designs and develops economic capital models which account for the unique characteristics and risk of the financial instruments within the Capital Markets division.

The model developer will be expected to interface and liaison with other economic capital model users as the implementation is handled by a separate financial engineering team. More specifically, they will be required to communicate model approaches including limitations and assumptions to various economic capital users such as portfolio managers and senior leadership so that relevant characteristics of each financial instrument are captured correctly by said economic capital models.

Responsibilities

  • Design and develop economic capital models across financial instruments in the Capital Markets division
  • Work together with financial engineering teams to ensure the successful implementation of economic capital models
  • Communicate modeling approaches to senior leadership and portfolio managers
  • Fully capture all relevant characteristics of each financial instrument in the Capital Markets division for economic capital modeling

Requirements

  • PhD or MS in Statistics, Economics or a related quantitative field
  • 3-10+ years experience in FO, Quant analytics, risk modeling, or risk analytics
  • Understanding of valuation models, term structure models, and/or economic capital models
  • Programming expertise in one or more: C, C++, Python, R, or Matlab
  • Demonstrated knowledge of applied probability
  • Fundamental understanding of econometric models, tools and techniques