Manager, Quantitative Market Risk Models - Financial Engineering and Modeling
Tasks
- Build FRTB models
- Calibrate financial derivatives pricing models
- Compute XVA
- Conduct stress testing
- Develop credit modeling and forecasting
- Develop market risk models
- Estimate VaR and ES
- Implement binomial tree methods
- Model counterparty credit risk
- Perform CCAR model analysis
- Perform PDE solving
- Review capital markets models
- Run Monte-Carlo simulations
- Validate market risk models
Perks/Benefits
- Deloitte Days firm closures
- Flexible benefits spending account
- Flexible work arrangements
- Hybrid work arrangement
- Learning days Development and Innovation Days
- Mental health support benefits
- Mentoring
- On-the-job coaching
- Paid vacation days
- People management opportunities
Skills/Tech-stack
Binomial trees | C# | C++ | Counterparty Credit | Counterparty Credit Risk | Credit Risk | Differential Equations | Economic Capital | FRTB | MATLAB | Monte Carlo | Partial differential equations | Python | VAR | Visual Basic | XVA
Education
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