MSET QR Counterparty Risk Strats, Manager, Institutional Equity Division
Core
Perform calibration and performance monitoring on counterparty risk models, automate tasks, analyze back-testing data, and support the development of risk models and quantitative tools for the Institutional Equity Division.
Role type
Manager, Quantitative Research (Counterparty Risk)
Builds
Counterparty risk metrics, collateral optimization tools, stress tests, and quantitative analysis reports.
Domain
Financial Services / Institutional Equity / Counterparty Risk
Deliverable
production ML models
Required skills
Python, SQL, Data Analysis, Mathematical Modeling, Back-testing Analysis, Risk Factor Attribution, Process Automation
Preferred skills
Market and counterparty risk methodologies (VaR, stress testing), Risk management concepts (initial/variation margin, model risk management)
Responsibilities
Perform regular calibration and performance monitoring tasks on models; Help to automate regular calibration and performance monitoring tasks; Analyze back testing data to attribute P&L to risk factors; Support the development and prototyping of risk models; Contribute to developing the team's suite of quantitative tools; Analyze historical data to identify trends within the hedge fund industry; Support the development of stress tests for regular reporting.
Seniority
Manager, hands-on IC