Quantitative Risk Management Consultant

Daily Responsibilities

• Code release testing
• Historical data validation
• Margin and stress testing model validation
• Portfolio back-testing

Requirements

• Master’s in computer science, Financial Engineering, Financial Mathematics, Mathematics, Physics, or 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