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VP - QA Model Development Scenario Design

  • Job type: Permanent
  • Location: New York
  • Salary: US$145000 - US$190000 per year + Competitive
  • Job reference: 261361/003_1552343221
  • Sector: Selby Jennings, Risk Management
  • Date posted: 11/03/2019

A leading global investment bank is actively building out a new team and looking for a technically skilled quantitative model developer. This Quant Analytics team is responsible for designing and producing Stress Testing scenarios from scratch, working with macroeconomic variables and statistical analysis. This is an exciting hands on model development role for someone with a highly technical background and quantitative skills. You will be working with some of the best quantitative minds in the industry for a leading company in New York City!

What You Will Be Doing:

  • Designing and producing Stress Testing scenarios

  • Looking at macroeconomic and market variables and conducting statistical analysis of large sets of data

  • Supporting the design and production of both regulatory and internal stress tests

  • Work with stakeholders across the business through the design, expansion and use processes of scenarios

What We Would Like From You:

  • At least 5-6 years of developing quantitative models

  • Experience developing either econometric models or pricing and risk models across all asset classes

  • Strong statistics and data analytic skills

  • Strong understanding of linear regression models and interest rates

  • An advanced degree in math, science, or engineering (PhDs encouraged)

  • Prior Experience with Stress Testing and Scenario Generation

  • Skills in R and Python encouraged

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