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Associate Director - Market Risk Quantitative Analyst

  • Location: New York - Manhattan
  • Salary: $160,000 + Bonus
  • Job type: Permanent
  • Job reference: JO / 166958
  • Sector: Banking, Market Risk
Job Description

Associate Director – Market Risk Quantitative Analyst

Position

Associate Director – Market Risk Quantitative Analyst

Job Responsibilities

Include but are not limited to:

  • Lead market risk, pricing quant, ALM modelling teams in delivering various analytical projects & teams
  • Develop and validate various risk models and in stress testing them
  • Understand regulatory guidelines and advise clients on their implementation – Basel II.5, FRTB, IRRBB, MRR
  • Testing and/or validating pricing and market risk vendor models like Blackrock, MSCI, Markit, Sungard APT
  • Pricing model development and/ or market risk model development/validation, enabling a clear understanding of the modelling skills required for regulatory risk calculations viz. VaR, IRC/ DRC, RNIV, behavior models/ NMD models
  • Assist sales with business development in US region
  • Build strong relationship with clients
  • Hire suitable team members keeping tactical and strategic needs in mind; mentor and train them

Job Requirements

  • 6-10 years of relevant experience 
  • PhD or Post-Graduate Degree in Business/ Statistics/ Mathematics/ Economics/ other quantitative disciplines would be preferred.
  • Worked closely with MRM teams of banks in either validating models, or in vetting model documentation
  • Strong knowledge and experience with financial instruments across asset classes and their pricing methodologies
  • Understanding of broad risk regulatory landscape – development & validation
  • Knowledge of quantitative methods – time series analysis, PDE, stochastic calculus, FDM, numerical methods
  • Strong problem solving and technical skills
  • Programming skills: C++  or Java/ any object oriented language, R, Matlab, Python
  • Strong verbal and written communication skills
  • Certifications such as CQF, FRM and CFA will be a plus

 

If you wish to discuss this further, please send your resume to Greg Anderson for a confidential discussion - ga@barclaysimpson.com

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