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A top-tier bank in New York, NY is in search of senior Quantitative developers to join the Risk Analytics Team on a long-term contract. This contractor position will be conducting a critical part of the bank's in-house margin model development for corporate and sovereign single name CDS and CDS Index. The margin model outcome will be used in charging initial margin amount to clients. Another key contribution will be on the development of analytical processes to perform on-going monitoring of model performance through Benchmarking against VaR and Backtesting against P/L.
As a Senior Quantitative developer you will...
Perform statistical analysis to calibrate shocks for various margin components to be used in margin calculation using historical time series
Review current methodology to enhance margin adequacy.
Prototype models for technology team's implementation and test technology team's implementation to ensure margin accuracy.
Develop a processes to perform benchmarking and backtesting on a daily basis. Identify, analyze, explain any overages.
Support ad-hoc analysis for model documentations/submissions and aid in addressing required action items raised by model risk management group.
The Senior Quantitative developer will possess...
a PhD or Masters degree in quantitative fields such as financial engineering, mathematics, statistics, physics, computer science, or equivalent.
Advanced programming skills in Python.
Solid understanding of derivatives pricing.
In depth understanding of Value at Risk and statistical estimation methods.
Strong communication (both written and verbal) and collaboration skills. (this project involves communicating with various groups within the firm)
Experience in quantitative modeling or validation experience.
Effective thinking skill to be able to independently and proactively identify/suggest/resolve issues.
If interested, please do not hesitate to apply below!