Job Summary & Responsibilities
BUSINESS UNIT OVERVIEW
The MRMA department is made up of the following groups:
– Market Risk Analysis: Responsible for measuring, analysing and reporting of market risk, including monitoring adherence to limits.
– Market Risk Modelling: Responsible for designing and implementing market risk measurement models.
– Derivatives Analysis: Responsible for approving pricing models used in the firm.
– Corporate Risk: Responsible for calculating and reporting the firm’s market risk to Regulators
Derivatives Analysis Group
Derivatives Analysis is a quantitative group of within the Market Risk department covering derivatives pricing models across all business lines. The group has presence in New York, London, Tokyo, Hong Kong and Singapore .
We are currently seeking outstanding quantitative PhD candidates to join the Derivatives Analysis team in London and New York at the Associate level.
• We are responsible for assessing and quantifying model risk — the risk associated with the choice of models that are used to price exotic derivative transactions. As financial derivatives become more complex, so do the models used to value and risk manage them. Our group focuses on developing alternative models to quantify the sensitivity to choice of different models.
• Verification of model implementation – we analyze all models used by the firm for valuing and risk managing derivatives contracts to ensure their consistency and validity.
• We advise senior management on the risks associated with particularly large transactions.
SKILLS AND EXPERIENCE WE ARE LOOKING FOR
• Strong quantitative skills with a PhD in a quantitative discipline (Physics, Mathematics, Applied Mathematics, Computer Science, Statistics, Engineering, etc. )
• Comfortable with programming, knowledge of any or all of: C++; Python; Matlab; R.
• Comfortable in explaining complicated models in an intuitive way
• Team player and has the ability to develop and implement solutions quickly
• Comfortable in working in a fast paced environment
Excellence Corporate Consulting is an equal opportunity employer. © The Excellence Corporate Consulting, Inc., 2017. All rights reserved.