Econometrician - (US-NY-New York)

Econometrician - (US-NY-New York)

Minimum Education: Doctorate
Job Type: Full Time
Jobcode: CTDNRJA300

The Quantitative Risk Department is responsible for developing new models, analytic processes and system approaches for the Risk Management Department and performing impact studies to support proposals to the Board of Directors. 



Position Summary: 

The Econometrician is responsible for designing, developing and testing new econometric models and other quantitative procedures to be utilized in risk/pricing analysis under minimal supervision. 



Principle Responsibilities: 

Empirical/econometric modeling encompassing all phases starting from the design phase to delivery 
Assist in identifying financial risk issues and providing solutions 
Implementation of pricing models across different product classes, including the development of interest rate models for fixed income products. 
Conduct research and perform integration of new products into existing risk models 
Participate in the development of risk management tools by enhancing existing analytical models and focusing on designing and implementing new models (e.g. VaR, back test, stress test, etc.) 
Experience: 

3 + years relevant Quantitative Risk Management experience. 



Knowledge/Skills: 

Solid econometric modeling and applied statistics skills (i.e. - Time Series, GARCH, stochastic volatility and forecasting, cross sectional modeling, etc.). 
Familiarity with equity & fixed income products. Derivatives a plus 
Strong knowledge and hands-on experience with quantitative methods such as VaR, interest rate models, multi-factors term structure model implementation and its application. 
Ability to operate autonomously, as well as be an effective member of a broader team. 
Good understanding of probability theory, stochastic processes, and PDE’s 
Excellent communication and presentation skills. 
MatLab, SAS, SQL and VBA skills. 
Education, Training or Certification 

Advanced degree in a quantitative discipline, preferably a Ph.D. 

Email resume in Word to TheBigGameHunter@cisny.com. Please include the job code for the position with your resume. 

NO RELOCATION. NO VISA TRANSFERS. NO OVERSEAS RESUMES. NO 3RD PARTIES. 

To receive a complimentary subscription to my job search ezine, No B.S. Job Search Advice, go to www.JeffAltman.com to subscribe. Receive tweets from Twitter with job search tips – TheBigGameHuntr AND become a fan on Facebook http://tinyurl.com/thebiggamehunter