| Job ID: | Job-0964 | | Job Title: | Sr. Quant Specialist – Team Lead | | location: | NYC, moving to Jersey City in Jan 2013 | | Jobtype: | Permanent | | Rate: | to $155K + bonus | | Description: | Position initially starts in New York City and moves to Jersey City in January, 2013
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 Senior Quantitative Specialist – Team Lead is responsible for leading a team of fixed income quants in designing, developing and testing quantitative pricing and risk models.
Principal Responsibilities:
• Lead a team of fixed income quants
• Assist in identifying fixed income risk issues and providing solutions
• Construct, verify/validate and maintain a library of models to support the fixed income business lines
• 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.)
• Implementation of pricing models and risk models across different fixed income asset classes, including interest rate models and volatility models etc.
Experience:
• 7+ years relevant fixed income quantitative modeling experience.
• Experience in leading a quant team is a plus
Knowledge and Skills Required:
• Strong knowledge with quantitative models such as multi-curve framework, interest rate models and volatility models etc.
• Hands-on experience with model implementations using Monte Carlo simulation, tree method and finite difference method etc..
• Strong knowledge with risk models such VaR, expected shortfall and Greeks and their implementations for fixed income products in a cross asset classes setting etc.
• Familiarity with fixed income asset classes – both plain vanilla types and derivatives - and market conventions, particularly in government securities and mortgage backed securities.
• Solid mathematical background with top level quantitative knowledge and skills in probability theory, statistics, econometrics and PDE etc.
• Strong hands-on experiences with C++ and with at least one of the following tools: R, MatLab or SAS. Experience with SQL programming is a plus.
• Leadership qualifications and managerial skills.
• Excellent communication and presentation skills
Education, Training &/or Certification:
• Advanced degree in a quantitative discipline
Email resume in Word to TheBigGameHunter@cisny.com. Please include the job code for the position with your resume.
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