We are seeking a Quantitative Research professional who will Build models and infrastructure used for the risk management of Market Risk. 

Job Summary

As a Quantitative Research professional, you will be working on in building financial engineering, data analytics, statistical modeling and portfolio management and partners with traders, marketers and risk managers across all products and regions, contributes to sales and client interaction, product innovation, valuation and risk management, inventory and portfolio optimization, electronic trading and market making, and appropriate financial risk controls. We are looking for an experienced candidate to join our team in New York. The Quantitative Research Markets Capital (QRMC) team's mission is to build the models and infrastructure used for the risk management of Market Risk such as of VaR/Stress/FRTB. We also work closely with Front Office and Market Risk functions to develop tools and utilities for model development and risk management purposes.

Job Responsibility

Implementation of the next generation of risk analytics platform and assess model performance, perform back testing analysis and P&L attribution; Improve performance and scalability of analytics algorithms and develop and enhance mathematical models for VaR/Stress/FRTB; Assess the appropriateness of quantitative models and their limitations, identifying and monitoring the associated model risk;  Design efficient numerical algorithms and implementing high performance computing solutions; Design and develop software frameworks for analytics and their delivery to systems and applications.

Required qualifications, capabilities, and skills

Advanced degree (PhD, MSc, B.Tech or equivalent) in Engineering, Mathematics, Physics, Computer Science, Financial Engineering etc. Strong Python and/or C++ coding skills for model development Data analytics using open-source Python packages (pandas / NumPy / scikit-learn) Basic understanding of product knowledge across a range of asset classes – Credit, Rates, Equities, Commodities, FX & SPG; Strong communication skills (both verbal and written) and the ability to present findings to a non-technical audience

Preferred qualifications, capabilities, and skills

Experience in securitized products trading or modeling Experience in VaR/Stress/FRTB