Job Description

Reference # : 17-05869Title : Quant Finance Analyst
Location : New York, NY
Position Type : Direct Placement
Experience Level : Start Date : 06/20/2017
Description

Quant Finance Analyst
Be a part of creating the right solutions. Eclaro is looking for a Quant Finance Analyst - Counterparty Model Risk Management for our client in New York, NY.
Eclaro’s client is one of the world's largest financial institutions, committed to providing the tools and services that bridge the gap between customers and their goals. If you’re up to the challenge, then take a chance at this rewarding opportunity!

RESPONSIBILITIES:
• Validate XVA system models and feeder models of bank's counterparty systems developed by Quantitative Strategy Group and Global Risk Analytics, including all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit, Mortgage, as well as collateral exposure modelling.
• Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated
• Perform independently testing to identify/quantify model risk associated with the model being validated
• Prepare validation report and technical documents for the model being validated
• Work closely with the model stakeholders (business, Market Risk, Finance/PVG and other control functions) with respect to compensating controls of the models and communication of validation outcomes
• Maintain a sub-portfolio of model inventory and perform annual model reviews, on-going monitoring reviews, Required Actions Items closure and etc.

EXPERIENCE/SKILLS REQUIRED:
• PhD in quantitative fields such as mathematics, statistics, physics or equivalent
• In depth understanding of financial mathematics including stochastic calculus and probability theory, as well as derivative pricing and risk models including interest rates and credit risk modelling.
• Exceptional knowledge of financial derivatives, OTC trading and hedging, collateral management, capital management, bank's operations and regulatory requirements
• Strong coding ability in C++, Python or R is a plus
• 5y work experience is required in quantitative modelling and/or validation in CVA/CCR or derivative pricing models. Experience on FVA/KVA models is a plus.
• Being critical thinking, intellectually curious, detailed-oriented, well-organized, quick learning and a team player with good communication skills (both written and verbal)

Interested in applying? Contact Charly Vie at charly@eclaro.com now

Equal Opportunity Employer: Eclaro values diversity and does not discriminate based on Race, Color, Religion, Sex, Sexual Orientation, Gender Identity, National Origin, Age, Genetic Information, Disability, Protected Veteran Status, or any other legally protected group status.

Application Instructions

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