Firm-Wide Quant Modeler – VP

Create firm-wide models employed in trading and risk management.

Analyze large data sets for strategic opportunities.

Identify strategic market opportunities and build models to support them.

Projects are long-term and fundamental to trading and risk.   

Model ideas are driven by research, risk, and trading.

Collaborate with traders and strategists to design new products. 

Implement valuation and risk management models and tools for securities.

Implement product valuation models, trading strategy analytics, risk management, and valuation tools for traders and desk strategists.

Monitor and analyze effectiveness of current valuation and risk models and champion and build new development. 

Strong math and financial engineering stochastic calculus. 

PhD in math, physics, applied math, numerical analysis.

C++ and statistical packages such as R, SAS, Matlab.

3-5+ years experience. 

Examples:  credit derivatives, residential credit modeling, proposed equity options, advanced techniques in house price modeling, commodity derivatives. trading residential property derivatives, FX derivatives, fixed income derivatives.