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Senior Quantitative Analyst

Company: Crunchhire
Location: Jersey City
Posted on: January 13, 2022

Job Description:

The Senior quantitative analyst will support the Director of Quality Control and work closely with the validation team within the Model Validation group to perform quality control testing over the validation work performed by the validators to ensure the validation work is up to the standards as defined by the DTCC Model Risk Management policy, Model Validation Procedures and regulatory requirements. This position will also have frequent interactions with multiple internal and external stakeholders such as Quant groups, Product Risk, IT, Management, Clients, Internal Audit, and our Regulators.

Responsibilities

  • Perform quality control testing on the validation work to ensure compliance with internal and external requirements
  • Enforce DTCC model documentation standards across the firm and identify gaps and build action plans to remediate the gaps
  • Perform data review and control and act as a liaison between the validation team and Data Integrity team to set up monitoring thresholds
  • Present quality control and data review results and resolutions to Model Risk Governance Council (MRGC)
  • Interface with auditors and regulators on the quality control aspect of model validation and data review
  • Any other ad hoc analyses, reviews, and validations

    Requirements
    • 7 years of related experience minimum
    • Bachelor's degree required. Master's degree preferred.
    • Broad expertise in quantitative finance on valuation models (curve building methodologies, term structure models, option models, credit models), and risk management models and methodologies (Greeks, VaR, back testing, stress testing).
    • Knowledge of prepayment modeling, MBS pricing and risks is a plus.
    • Experience and expert knowledge on VaR modeling and VaR model back testing methodologies
    • Strong mathematical background, especially in probability theory, stochastic processes, and PDEs.
    • Econometric modeling and applied statistics skills (i.e. estimation, time series modeling, Monte Carlo simulation techniques, etc.)
    • High level of computer literacy, ability to work effectively with Matlab, Excel(VBA), SQL ,R, Python or C++
    • Excellent written and verbal communication and presentation skills, ability to communicate quantitative concepts to financial professionals
    • Must have excellent interpersonal skills and can work in an efficient and organized way.
    • Ability to work independently and under pressure.
    • Ideally the incumbent should be familiar with the regulatory requirements in terms of model risk management (SR11-7) and SEC Covered Clearing Agency Standardsby Jobble

Keywords: Crunchhire, Jersey City , Senior Quantitative Analyst, Professions , Jersey City, New Jersey

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