Sr. Quantitative Finance Analyst

Responsibilities

• Performs end-to-end market risk stress testing including scenario design, scenario implementation, results consolidation, internal and external reporting, and analyzes stress scenario results to better understand key drivers
• Leads the planning related to setting quantitative work priorities in line with the bank’s overall strategy and prioritization
• Identifies continuous improvements through reviews of approval decisions on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation
• Maintains and provides oversight of model development and model risk management in respective focus areas to support business requirements and the enterprise's risk appetite
• Leads and provides methodological, analytical, and technical guidance to effectively challenge and influence the strategic direction and tactical approaches of development/validation projects and identify areas of potential risk
• Works closely with model stakeholders and senior management with regard to communication of submission and validation outcomes
• Performs statistical analysis on large datasets and interprets results using both qualitative and quantitative approaches

Qualifications

• PhD (preferred) or master’s degree in quantitative fields such as financial engineering, mathematics, statistics, physics, computer science, or equivalent
• Solid 5+ years of work experience in developing FO pricing models or market risk models
• Advanced programming skills in Python with 5+ years of experience
• In depth understanding of derivatives pricing
• Strong communication (both written and verbal) and collaboration skills (this project involves communicating with various groups within the firm)
• Effective thinking skill to be able to independently and proactively identify/suggest/resolve issues