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Quantitative Analyst

Company: Crox Group
Location: New York
Posted on: November 26, 2022

Job Description:

Quantitative Analyst role,

Location: Charlotte, NC OR New York, NY (Hybrid Model)

Contract Length: 12 Months on W2 only

Pay Rate: 120$/hr

*Senior Quantitative Analytics Specialist *

*In this role, you will: *

* Perform model validations and clearly document evidence of validation activities
* Provide effective challenge to models developed in the lines of business
* Control model risk to meet or exceed regulatory and industry standards
* Identify conceptual weaknesses in a model and understanding tradeoffs with other approaches
* Contribute to improvement of model building and use practices
* Provide analytical support and offering insights regarding a wide array of business initiatives
* Communicate model issues and limitations to key stakeholders
* Interact with senior management and regulators on key modeling issues, including the identification, management and mitigation of model risk
* Manage a good relationship with key model stakeholders
* Provide leadership and consultation to less experienced validators

*Required Qualifications, US: *

* 4+ years of Quantitative Analytics experience
* Extensive experience performing model validations
* Master's degree or higher in a quantitative field such as mathematics, statistics, engineering, physics, economics, or computer science

*Desired Qualifications: *

* A PhD in a quantitative discipline
* Good verbal, written, and interpersonal communication skills
* Knowledge and understanding of stochastic processes and numerical methods
* Knowledge of financial derivatives, capital markets, and general derivative pricing theories
* Strong Experience with model development or validation of derivatives pricing models.
* Strong programming skills in one or more of the following: C++, Matlab, Python, R and SAS
* Experience with numerical methods such as Monte Carlo, PDE, optimization and regression etc.
* Work experience as Front Office quant or model validator
* Experience with model development and testing methodology
* Ability to document critical information and share results with a variety of audiences, both technical and non-technical
* Understanding of model usage for Value-at-Risk and CCAR/Stress test
* Understanding of the regulatory environment and it's relation to model development and model validation
* Specifically experience in one or more of the following derivative pricing areas:
* Structure Products including RMBS, CMBS and ABS; Prepayment model of RMBS
* Interest rate models and rates derivative pricing
* Pricing and risk analytics for credit products including credit derivatives, credit callable bonds, contingent convertible bonds;
* Counterparty credit risk related Models [such as CVA/DVA, PFE and CCP etc.

Job Type: Contract

Salary: $100.00 - $120.00 per hour

Schedule:
* 8 hour shift

Ability to commute/relocate:
* New York, NY 10001: Reliably commute or planning to relocate before starting work (Required)

Application Question(s):
* Are you willing to work on W2 ?

Education:
* Doctorate (Required)

Experience:
* SQL: 4 years (Required)
* C++: 4 years (Preferred)
* Matlab: 4 years (Preferred)
* CCAR: 4 years (Preferred)
* Python: 5 years (Preferred)
* capital markets: 4 years (Preferred)
* Quantitative Analytics: 4 years (Preferred)

Willingness to travel:
* 25% (Preferred)

Work Location: One location%58047475%

Keywords: Crox Group, New York , Quantitative Analyst, Professions , New York, New York

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