Manager/Senior Manager, Quantitative Market Risk Models - Financial Engineering and Modeling
Tasks
- Calibrate financial derivatives models
- Conduct credit modeling
- Develop market risk models
- Manage people
- Manage project timelines
- Model and validate counterparty credit risk
- Model and validate xVA
- Perform customer behavior modeling
- Perform forecasting
- Perform stress testing
- Review capital markets models
- Run Monte-Carlo simulations
- Solve financial PDEs numerically
- Support CCR modeling
- Support FRTB model development
- Use binomial tree methods
- Validate market risk models
Perks/Benefits
- Flexible benefits spending account
- Flexible work arrangements
- Hybrid work arrangement
- Learning and development days
- Mental health support benefits
- Paid vacation days
Skills/Tech-stack
Binomial Tree | C# | C++ | Counterparty Credit | Counterparty Credit Risk | Credit Risk | Derivatives pricing | Differential Equations | Economic Capital | Expected shortfall | FRTB | Financial derivatives | Financial derivatives pricing | MATLAB | Model Validation | Monte Carlo | Partial differential equations | Python | Value-at-Risk | Visual Basic | XVA
Education
Bachelor of Engineering | Bachelor of Science | Master of Science | PhD
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