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Senior Quantitative Risk Analyst is require to support our client's Quant Risk function. Senior Quantitative Risk Analyst will be responsible for researching, documenting and implementing a CDS model that evaluate initial margin requirements. The model will encompass concepts like Credit Spread risk, Recovery Rate risk, Index/Constituents Basis risk, Jump-to-Default risk, Wrong-way risk and different components of Liquidation risk. The role will also include performing back-testing and statistical analysis required to ensure that the model yields adequate margin coverage when compared with an existing CDS model.
The senior analyst is expected to work independently but will be supported by teams experienced in all aspects of initial margin for a wide variety of asset classes and instrument types. The role would fit someone with academic knowledge or experience in CDS initial margin. In terms of financial math skills, it requires a good knowledge of advanced pricing models and risk methods like Monte Carlo, Volatility Forecasting, Correlation Analysis, Liquidity Risk, etc. Expertise in statistical testing and prior experience with theoretical justifications of financial models is also a helpful experience for this role.The position includes two distinct phases, one being the researching of the CDS model. The second phase is to implement the researched model in an existing initial margin calculation framework based on a GPU architecture. A good technical knowledge and experience with high-performance computing are thus required.
Research and produce documentation of a CDS model for initial margin and its components (VaR, Default risk, Liquidation risk) which yields comparable margin coverage as an existing model
Implement the CDS margin model in an existing GPU framework, making it render margin calculations with the same performance as existing margin calculations relative to model complexity
Ensure plan for deployment, testing and continuous improvement of the model and its input parameters and market data. Setup empirical tests to ensure continuous comparable results as an existing model
Present results to Management and relevant teams within CME
Qualifications and Experience:
MBA/MS or PhD in Finance, Economics, or a quantitative field and possesses strong quantitative, analytical and problem-solving skills
Strong knowledge of pricing Credit derivatives and performing advanced statistical analysis on underlying risk factors of CDS instruments
Preference will be given to candidates who can demonstrate experience with developing CDS initial margin models or have strong knowledge of the inner working of such models (VaR of CDS instruments, Default risk, Liquidation risk)
Experience with the programming language C++ is also required and preference will be given to candidates with experience with programming against a GPU architecture
The candidate should also have had academic experience in probability theory, stochastic processes, and have experience providing theoretical justifications of Risk Models they have developed
The successful candidate must also possess strong oral and written communication skills
Internal Number: 6514310
About Alexander Ash GmbH
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