Quantitative Analyst CCAR Model Documentation
- New York, NY, USA
- Permanent, Full time
- Analytic Recruiting Inc.
- 19 Feb 18 2018-02-19
An Investment Manager in New York is looking for a Junior Quantitative Risk Analyst (PhD) to test, monitor, review and document analytics, risk, pricing, asset allocation and portfolio construction models.
- Work on model risk policy and model documentation
- Model risk management activities including model testing, ongoing performance monitoring and model documentation
- Help to author the firms model documentation reports for internal managers and regulators
- Work on Risk and Analytics Models for Equities, Rates, Multi-Asset Funds and Alternatives
- Stress Test Investment and Pricing Models for performance
- Conduct Quantitative Research to implement model enhancements
- Apply econometric analysis to investment models, to better predict probabilities and forecast outcomes
- PhD in a quantitative field- Math, Physics, Economics is a requirement
- Must have 3 years of experience working as a quantitative risk modeler focusing on model documentation of investment risk, pricing, hedging, investment analytics and portfolio optimization models
- Must have current Programming skills– one or more of the following (R, Matlab)
- C++ is also strongly preferred
- Will be reviewing both proprietary risk models and vendor risk models from (Blackrock, Yield Book, MSCI-Barra, Barclay’s Point and RiskMetrics).
- Must have superior oral and written communication skills
Keywords: Model Documentation, Quantitative Risk Models, Ph.D., Portfolio Construction, Pricing Models, Investment Manager, Mean Reversion Models, Factor Models, Equities, Fixed Income, Multi-Asset
Please refer to Job #22475 - and send MS Word attached resume to email@example.com