Senior Quantitative Analyst

Senior Quantitative Analyst

The Senior Quantitative Analyst will work on enhancing the Backtesting program across all CCPs and DTC, which may consist of: governance and control, design, implement, and maintain Backtesting system, BT methodology changes. The incumbent will also work on model performance monitoring program enhancement and come up with innovative ideas to unify the model performance monitoring with Back test.

Responsibilities:

• Perform Backtest and work on its enhancement.
• Work closely with quant groups and risk managers to proactively identify model issues and provide suggestions and solutions to enhancing the model performance monitoring and Backtest.
• Perform ad hoc model performance analysis and deficiency driver analysis for Backtest.
• Be accountable for the Backtest program.
• Review and sign off on the numbers that are used for generating management and regulatory reports.
• Design the benchmark/alternative models for performance monitoring and Backtest purposes.
• Interact with auditors and regulators during examinations.

Qualifications:

A Ph.D. or a Masters degree in quantitative finance, economics, or other quantitative fields. A Ph.D. is preferred. 3-5 years of relative experience, ideally in risk analytics, model validation or front office quant modeling. Prior experience on quantitative modeling is preferred and should have a general knowledge about the financial market, products, risk metrics and VaR modeling/back testing approaches. Strong programming skills in languages such as SQL, Python, R, SAS, Access, VBA, etc. Knowing C++ is a plus. Must have excellent oral and written communication skills, interpersonal skills and must be able to work in an efficient and organized way, both independently and under pressure. Motivated and have a sense of accountability and ownership.