Quantitative Analyst - Strategy and Architecture Group

New York, NY
Job Type:
Full Time
Asset Management

Job Description

A global investment bank with a massive international presence is seeking an analyst with a good analytics background to work in their strategy and architecture group.

There is an opening in the GFS SnA Analytics team - PnL Attribution.

Strategy and Architecture Group - New York is a part of Global Business Services (GBS) with the responsibility to build and support Analytics for computation of Valuation, P&L, P&L Attributions and Risk using a proprietary library of financial models. We are currently looking for an analyst with good analytics background at AVP or VP level:

Job responsibilities will include:

• Prototype analytics for P&L, Risk and P&L Attributions for FICC products in Excel using Analytics - a proprietary library of financial models.

• Implementing the same analytics in a configurable production system called Risk Engine.

• Testing the analytics and participating in production rollout.

• Troubleshooting the analytics and doing root cause analysis to resolve production problems with the analytics.

• Coordinating / Managing small projects.

We are looking for a candidate who has:

• Knowledge of Stochastic Calculus and Financial Models as demonstrated by Masters in Financial Engineering, Math Finance or Computational Finance from a reputable Masters program. Equivalently, the candidate can have a Ph.D. in a Quantitative field with demonstrated experience in building Stochastic Calculus based Financial Models.

• Good product knowledge of one or more fixed income products e.g. rates, index, inflation or MBS.

• Minimum two years of experience with building or reviewing and approving Stochastic Calculus based Financial Models in at least one of the following areas: Rates, Credit, Commodities and FX, Structured Products.


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