Senior Quant Finance Analyst
Grab the opportunity to achieve your full potential! Eclaro is looking for a Senior Quant Finance Analyst for our client in Charlotte, NC.
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!The Senior Quant Finance Analyst will work closely with front office and Global Risk Analytics model developers, as well as Finance/PVG and other risk management groups.
- 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 modeling.
- Expected to play a lead role in validation of Credit or mortgage (including other securitized products) simulation and pricing models in Counterparty space
- 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.
Interested in applying?
- PhD or Master degree 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 modeling.
- Exceptional knowledge of financial derivatives, OTC trading and hedging, collateral management, capital management, bank's operations and regulatory requirements
- Strong knowledge of Credit or Mortgage (including other securitized products) simulation and pricing models is essential.
- Strong coding ability in C++, Python or R is a plus
- 5 + years of work experience is required in quantitative modeling 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)
Contact Charly Vie at firstname.lastname@example.org 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.