Quant - Market Risk VaR


Company:: Select Group, Inc.
Location:: Jersey City, NJ
Job Type:: Full Time
Category:: Risk Management

Yrs of Exp:: 5+ to 7 years
Posted:: 4/10/2013

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Job Description

Major Financial Corporation looking for Senior Quantitative Analyst, to join Enterprise Risk Management's QRM team (15+ PhD level colleagues).

The Quantitative Risk Management group is specifically seeking Quant who is current & has solid experience specilizing in either

- Mortgages (Agency) MBS or

- Interest Rates / FI / derivatives

Must be strong using C++ and SQL

Principle Responsibilities:

• Take ownership for identifying and mitigating risk within assigned areas of responsibility and for supporting risk mitigation across Company

• Assess existing processes and suggest new ones that most effectively anticipate, manage and reduce risk to Company and its participants

• Assist in identifying financial risk issues and providing solutions

• Construct, verify/validate and maintain a library of models to support enterprise wide risk management

• Participate in the process of new product development, design and test its risk management methodologies.

• Stay abreast of the latest developments and best practices in quantitative financial modeling and risk management.

Experience:

5+ years relevant Quantitative Risk Management experience specifically with mortgages/ MBS or Interest Rates.

Knowledge/Skills:

Expertise in and hands-on experience with methods of quantitative finance such as interest rate curve building, term structure models, volatility models, options pricing, Monte Carlo simulation, binomial and trinomial tree and finite difference methods etc.

• In depth understanding of products, market conventions, and risk management on equities and/or fixed income.

• Ability to handle large set of data and data with bad quality.

• Exceptionally strong mathematical background, especially in probability theory, stochastic processes, time series, and PDE's.

• Ability to operate autonomously, as well as be an effective member of a broader team.

• Excellent communication and presentation skills.

• Strong programming skills in SQL and C++.

• Strong skills in a common scripting language such as.

Education, Training &/or Certification:

Ph. D in a quantitative field.

Excellent working environment within this QRM group, with lower stress levels and reasonable work hours!

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