Quantitative Risk Analyst
Tasks
- Build and test alternative models for benchmarking
- Calibrate reserves using historical probability
- Design credit risk metrics implement prototypes
- Design market risk metrics implement prototypes
- Document models and methods for auditability
- Implement model monitoring and performance metrics
- Implement validated stochastic models
- Support internal model committees
- Validate pricing models for complex derivatives
Perks/Benefits
- N/A
Skills/Tech-stack
AWS | Amazon Web Services | Big Data | C# | Counterparty Credit | Counterparty Credit Risk | Credit Risk | Credit Valuation Adjustment | Credit valuation | Dataiku | Debit Valuation Adjustment | Derivative pricing | Expected Exposure | Liquidity Risk | Market Risk | Model Validation | Object-Oriented | Object-oriented programming | Probability of Default | Python | Regression Analysis | Series analysis | Statistical Testing | Stochastic Modeling | Stress Testing | Time Series | Time Series Analysis | Valuation Adjustment | Value-at-Risk | Web Services
Education
Roles
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