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Work directly with the head of Portfolio Risk to build, enhance and update quantitative models and Monte Carlo simulation engines used to price, monitor, analyze, stress and forecast risk in the firm's portfolio of cross asset derivative trades and hedges (commodity, equity, FX, interest rate and hybrid securities)
Provide quantitative analysis of the firm's portfolio of cross asset derivatives trades and hedges
Manage the daily, monthly and quarterly generation of portfolio risk and risk analytics reports
Support IT teams and Portfolio Managers as the firms is implementing Bloomberg's Multi-Asset Risk System (MARS) platform
Work directly with Portfolio Managers to identify and analyze global macro trades
Must have Quantitative BS or MS from a top school (Computer Science, Finance)
Must have 3+ years of quantitative derivative modeling experience in the financial markets
Must have proven experience building models that structure, price, analyze and manage cross asset derivatives, structured products and dynamic strategies
Must have experience building and using Monte Carlo models for cash flow analysis, scenario analysis and stress testing
Nice to have: experience with Bloomberg's DLIB models and Bloomberg's MARS risk platform
Must be able to manipulate, extract and analyze large amounts of data from both proprietary and Vendor Risk Systems (Bloomberg MARS) and generate portfolio risk reports
Must have advanced programming skills (C++ or C#, or Python, R, SQL)
Must have strong communication skills, the role will interact and work closely portfolio managers, risk managers, accounting, operations and technology
This is a unique opportunity for someone with experience building quantitative risk models for derivative products and who understands derivative product risk exposure to join a prominent and growing investment firm.
Keywords: C++, Modeler, Quantitative Developer, Derivatives, Monte Carlo Simulation, Forecasting Models, Investment Analytics, Portfolio Risk Analytics, Risk Reporting
Please refer to Job 23230 - and send MS Word attached resume to Jim Geiger, email@example.com │For more opportunities, please visit our site at www.analyticrecruiting.com
Internal Number: 4835262
About Analytic Recruiting Inc.
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