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The Risk Management Analyst Consultant will assist in developing risk and pricing models that evaluate counter-party exposures to the Clearing House. This includes models related to pricing, Value-at-Risk, stress testing, liquidity, and regulatory capital, and also developing tools for portfolio analytics (e.g. sensitivities, risk reports, and margin adequacy). The consultant will also perform the back testing and statistical analyses required to ensure the adequacy of margins and to justify model assumptions.
Quantitative Modeling Tasks: The consultant will work on modelling, building and deployment of risk framework for OTC equity products. It will involve good amount of work on building data history for various products, conducting statistical research, curve construction, risk framework modelling. Knowledge on derivative pricing, understanding of equity and interest rate markets are also required to assist with the data imputation and risk modelling.
Algorithmic Code development/maintenance tasks: The work here involved researching optimization algorithms, prototyping and then writing C++ Risk Libraries. As part of the initiative there will likely also be the need to use Python/Java/SQL for data sourcing and other ancillary analytics to the code optimization algorithm.