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Director Quantitative Risk Management
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- These include models related to Pricing, Value-at-Risk, Stress Testing, Liquidity, Regulatory Capital, & also developing tools for Portfolio Analytics.
- Design and develop pricing and risk models across different various asset classes like Fixed Income Cash and Derivatives, OTC and Exchange-traded Futures and Options (e.g. Pricing, VaR, Backtest, Stress, Liquidity, etc
- For instance, the successful candidate will be ultimately responsible for the long-term modelling strategy, and for the architecture of the development library (supported by a quantitative developer).
- The requirements are for: Master or Doctorate in Computer Science, Financial Engineering, Financial/Applied/Pure Mathematics, Physics, or a related discipline.
- 6-8+ years of experience in pricing complex derivatives and performing advanced statistical analysis on underlying risk factors.
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