Manager/Senior Manager, Quantitative Market Risk Models - Financial Engineering and Modeling
Tasks
- Assess CCR models
- Assess FRTB models
- Assess VaR and ES
- Assess XVA models
- Build binomial tree models
- Calibrate financial derivatives pricing models
- Conduct forecasting
- Develop market risk models
- Manage people
- Manage time effectively
- Model and assess counterparty credit risk
- Perform credit modeling
- Perform customer behavior modeling
- Perform model validation and vetting
- Perform stress testing
- Review capital markets models
- Run Monte-Carlo simulations
- Solve PDEs numerically
- Validate market risk models
Perks/Benefits
- Flexible benefits spending account
- Flexible work arrangements
- Hybrid work structure
- Learning days
- Mental health support benefits
- Mentoring
- On-the-job coaching
- Paid vacation days
Skills/Tech-stack
Binomial trees | C# | C++ | Commodity derivatives | Counterparty Credit | Counterparty Credit Risk | Credit Risk | Credit derivatives | Economic Capital | Equity Derivatives | Expected shortfall | FRTB | Foreign Exchange | Foreign exchange derivatives | Interest Rate | Interest Rate Derivatives | MATLAB | Model Validation | Model calibration | Model vetting | Monte Carlo | Numerical Methods | PDE | Python | Value-at-Risk | Visual Basic | XVA
Education
Bachelor of Engineering | Bachelor of Science | Master of Engineering | Master of Science | PhD
Roles
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