Manager/Senior Manager, Quantitative Market Risk Models
Tasks
- Build binomial trees
- Calibrate pricing models
- Compute Expected Shortfall
- Compute value at risk
- Conduct stress testing
- Develop market risk models
- Forecast risk metrics
- Manage model development activities
- Manage model validation teams
- Model FRTB
- Model counterparty credit risk
- Model financial derivatives pricing
- Model xVA
- Review capital markets models
- Run Monte-Carlo simulations
- Solve partial differential equations
- Validate market risk models
Perks/Benefits
- Deloitte Days
- Development and Innovation Days
- Flexible benefits spending account
- Flexible work arrangements
- Hybrid work structure
- Mental health support benefits
- Paid vacation days
Skills/Tech-stack
At risk | Binomial trees | C# | C++ | CVA | Commodity derivatives | Counterparty Credit | Counterparty Credit Risk | Credit Risk | Credit derivatives | DVA | Differential Equations | Economic Capital | Equity Derivatives | Expected shortfall | FRTB | FVA | Foreign Exchange | Foreign exchange derivatives | Interest Rate | Interest Rate Derivatives | MATLAB | Monte Carlo | Options | Partial differential equations | Python | Swaps | Value-at-Risk | Visual Basic | XVA
Education
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