Senior Quantitative Analyst Market Risk
Core
Investigates and manages large data sets, builds tools for data access, and develops quantitative models to assess portfolio risk/reward and support transaction-level valuation.
Role type
Senior Quantitative Analyst (Market Risk)
Builds
Risk assessment tools, option valuation models, and data access utilities for the Risk team.
Domain
Finance / Quantitative Risk / Energy
Deliverable
production ML models | product features
Required skills
Python, Bash shell scripting, Monte Carlo simulation, Partial differential equations, Advanced statistical analysis, Model development, Model validation, SQL, Oracle databases
Preferred skills
Research experience
Responsibilities
Investigate and manage large data sets ensuring consistency and quality; Contribute to understanding methodologies for risk/reward assessment (VaR back-testing, P&L stress testing, scenario analysis, market liquidity analysis, PFE, credit stress testing, cash margining); Support development of complex option valuation models; Ensure process excellence and error-checking; Engage with stakeholders on operational and strategic levels; Engage in innovative research tasks for quantitative risk solutions; Identify areas for improvement in existing methodologies.
Seniority
Senior, hands-on IC
