Job Description

Reference # : 17-00322Title : Sr. Quant Finance Analyst
Location : New York, NY
Position Type : Direct Placement
Experience Level : Start Date : 01/12/2017
Description
Eclaro International is currently recruiting for a Sr. Quant Finance Analyst for one of our financial services clients.

Job Description:


Responsible for independently conducting quantitative analytics and complex modeling projects. Leads efforts in development of new models, analytic processes or system approaches. Creates documentation for all activities and may work with technology staff in design of any system to run models developed. Incumbents possess excellent quantitative/analytic skills and are able to influence strategic direction, as well as develop tactical plans.
Critical review and independent testing of derivatives pricing models utilizing knowledge of probability theory, derivative pricing theory, stochastic calculus and various programming languages including C++ and Python. Analyze all aspects of model and market risk. Use experience and market/product knowledge to identify and assess the appropriateness of the models key underlying assumptions and limitations. Create tests around model limitations by extending tests supplied by model developers and/or creating his/her own tests in Python or independent C++ code library. Create high quality documentation for all activities. Complete ongoing model reviews, annual model reviews and regular model validation activities in accordance with the policies and procedures.

Main reasons to join:
? Strong and dynamic team
? Stimulating work environment
? Good work and life balance
? Exposure to a wide range of asset classes such as Credit, Equity, FX and IR.
? Exposure to cutting edge models

Responsibilities
Independently conduct validation of the model supplied by model developers from many asset classes such as Credit, Equity, FX, Commodities and IR.
Identify and quantify the model risk associated with the limitations of the models.
Carry out stress testing of the models
Develop benchmark models in Python/C++ for model review.
Prepare validation reports and other technical documents
Assist market risk managers on trade approvals and finance on price verification methodologies .
Help on maintaining model inventory and conducting ongoing model performance monitoring, annual reviews and validations.
Competencies we look for:
Understands and manages model risks.
Understands stochastic models used in finance such stochastic IR, Credit and FX models. Examples being Black Scholes, Hull and While and BGM models
Critical thinking and mathematical rigor.

Required Skills
PhD in Computational Finance, Mathematics, Theoretical Physics or related degree. Candidates with Masters degree can be considered if they have relevant experience in stochastic calculus.
Very strong mathematical skills. Should be able to answer Mathematics questions such as on Algebra, Trigonometry, Geometry and Stochastic Calculus.
The candidate must have knowledge of the following: derivatives modeling; stochastic calculus, Probability, Monte Carlo Methods, Differential Equations.
The candidate should be comfortable with questions on Brownian motions, probability distributions and measure change.
Python and C++

Desired Skills
Experience in Equity or Credit asset class.
Strong oral and written communication skills
Ability to work independently
Ability to work cordially with different support partners

Application Instructions

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