VP - Quantitative Risk VP - Quantitative Risk …

Selby Jennings QRF
in Manhattan, NY, United States
Permanent, Full time
Last application, 24 Jan 22
Negotiable
Selby Jennings QRF
in Manhattan, NY, United States
Permanent, Full time
Last application, 24 Jan 22
Negotiable
Selby Jennings QRF
An industry leading International Investment Bank is looking to hire a VP-level candidate to their Market Risk Model Validation team covering credit and insurance products. This team works closely with front office traders and quantitative research teams and offers significant exposure across a spectrum of pricing and risk models, and the associated methodologies. This position will focus mainly on insurance products, credit derivatives, credit-rate hybrids, and CVA.

An industry leading International Investment Bank is looking to hire a VP-level candidate to their Market Risk Model Validation team covering credit and insurance products. This team works closely with front office traders, quantitative research teams, and market risk functions, and offers significant exposure across a spectrum of pricing and risk models, and the associated methodologies. This position will focus mainly on insurance products, credit derivatives, credit-rate hybrids, and CVA.

The firm is looking for an experienced individual (6+ years of experience), with very strong quantitative skill sets and knowledge of credit trading. Insurance product knowledge is highly preferred. This position will report to the Head of US Model Validation and is a critical hire as the team continues to grow.

Responsibilities:

  • Validate risk models for insurance products, credit derivatives, credit rate hybrids, and CVA
  • Conduct model risk analysis to determine the model's conceptual soundness
  • Assess the suitability of model parameters
  • Conduct stress-testing under various scenarios
  • Test the risk sensitivity output
  • Establish relationships with front office traders and researchers on the credit trading and insurance desks and act as an SME for model analytics
  • Present periodically on the risk committee

Qualifications:

  • Advanced degree in a quantitative discipline - Mathematics, Statistics, Physics, Etc.
  • 5/6+ years in a quantitative field in finance
  • Strong knowledge of credit and it's associate derivatives
  • Experience with Monte Carlo Simulation methods
  • Strong programming skills in Python or C++
  • Excellent communication skills
Selby Jennings QRF logo
More Jobs Like This
See more jobs
Close