DESCRIPTION:

Duties: Conduct reviews of quantitative models that are used by the business and risk management for BAU (Business as Usual) and Stress and grant approvals. Conduct independent testing to validate model performance and implementation to ensure its appropriateness with design. Conduct product deep dives to determine suitability of models and uncover deficiencies. Execute model governance procedures in line with firm policies to ensure models approved are applied correctly in practice. Assess the results of ongoing performance monitoring tests and perform root cause analysis when thresholds are breached.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Mathematical Finance, Mathematics or related field of study plus 2 years of experience in the job offered or as a Quant/Risk Product Specialist or related occupation.

Skills Required: Requires experience in the following: Python and R programming applied to Asset management and Asset pricing models; Conversant with Modern Portfolio Theories (CAPM, APT, ICAPM); Experience in modeling and use of optimization and Regression techniques for models used in portfolio management; Equity/Fixed Income asset analytics modelling (Black Scholes, Merton model and other similar models used for fixed income asset and option pricing); VaR risk modeling (Monte Carlo Simulation and Time Series modeling); Portfolio Stress Testing; Software system implementation testing of models; Experience in the use of Risk models sourced from vendors (MSCI Barra, Northfield, FactSet MAC); Familiarity with extraction and use of pricing and market data from financial data vendors (Bloomberg, FactSet, Lipper, Morningstar, Moody’s).

Job Location: 237 Park Avenue, New York, NY 10017. Telecommuting permitted up to 40% of the week.

Full-Time. Salary:  $150,000 - $150,000 per year.