Our client is looking to fill a Quantitative Business Analyst (QBA) within its Middle Office Risk Management team, located in the Chicago office. The QBA will perform quantitative analysis and aid in the development of determining Independent Amount (IA) as mandated under Dodd-Frank
The main role of the risk analyst is to build out the calculation and reporting of IA for principal and counterparty amounts. Additionally, s/he must prepare test scenarios and scripts to support the execution of regression tests and user acceptance testing. The candidate should have good communication skills to interact with IT team as well as support dispute resolution.
• Minimum Masters degree (MS/MFE) in a quantitative discipline (i.e. Mathematics, Statistics, Computer Science, Financial Engineering)
• Min 2-5 years of relevant experience in quantitative risk analysis in middle office
• Market risk experience with VaR, back-testing and stress testing; OTC derivatives in FICC (fixed income, interest rates, FX, commodities), credit, equities
• Understanding of Dodd-Frank and collateral management process at large banks
• Computer skills: Excel, VBA, SQL, Python (whole package highly preferred!)
• Excellent communication skills (written, verbal, presentation)
Keywords: risk analyst, quantitative business analyst, financial engineer, risk analysis, risk management, quantitative risk management, risk quant, independent amount, IA, Dodd-Frank, regulatory, OTC, derive, derivatives, fixed income, interest rates, FX, currencies, credit, equities, collateral management, VaR, value at risk, back-testing, stress testing, Excel, VBA, SQL, Python, MS, MFE, Chicago, USA
Although preferable, we do not require a CV, please feel free to get in touch regarding this role to talk to a member of the team to discuss this role. For more current openings with our clients, please see www.g-q-r.com/vacancies
We Welcome speculative and tentative applications roles and others of a similar nature that we may have available on our books.
Search Consultant: James Friend -please mention job title
Contact Telephone Number: 310-807-5030
Linked In: http://www.linkedin.com/e/vgh/1615777