27093-Quantitative Risk Analyst
Chicago, IL 60606 US
Job Description
Quantitative Risk Analyst
#AF – 27093
Location: Chicago, IL
Duration: 12-month contract+
Job Description:
- The Quantitative Risk Team in the Risk Management Department is responsible for developing, analyzing, and back-testing models for clearing initiatives.
- Daily responsibilities include code release testing, historical data validation, margin and stress testing model validation, and portfolio back-testing.
The candidate must have the ability to efficiently, effectively conduct research, analyze problems, formulate and implement solutions, and produce high quality results on time
Job Qualifications:
- Master’s in computer science, Financial Engineering, Financial Mathematics, Mathematics, Physics, or a related discipline.
- Superb quantitative and analytical background.
- Excellent programming, communication, and documentation skills.
- Knowledge of financial markets.
- Work experience or education in advanced quantitative risk modeling and knowledge of statistical models in risk management preferred.
- Work experience or education in advanced derivatives modeling and knowledge of volatility models preferred.
- Work experience or education in curve construction and data validation preferred