Associate

Skills

About the Role

You will implement and maintain model surveillance and performance monitoring infrastructure for models supported by Single Security Pricing, enhance model documentation, and collaborate with the Risk & Quantitative Analysis group on validation. You will research and roll out new models and analytics, maintain interest rate, inflation, FX, credit and equity derivatives models, and refactor analytical code to be more modular and scalable.

Requirements

• Master's degree in Financial Engineering, Business Administration, Economics or related field
• 2 years of experience as an Analyst, Financial Engineer or related role
• 2 years programming in Python, R, MATLAB, SQL and using Bloomberg terminal and Aladdin
• 2 years applying time-series analysis to derivatives modeling
• 1 year with model validation and performance monitoring
• 1 year pricing fixed income derivatives
• 1 year with short-rate models and volatility surface calibration
• 1 year with stochastic calculus and numerical methods
• 1 year developing pricing analytics in C++

Responsibilities

• Implement and maintain model surveillance and performance monitoring infrastructure
• Enhance model documentation
• Collaborate with RQA on model validation
• Research, implement and roll out new models and analytics
• Maintain and enhance interest rate, inflation, FX, synthetic credit and equity derivatives models
• Refactor analytical code to be more modular and scalable
• Keep abreast of trends in technology, quantitative finance, capital markets and regulation

Benefits

• Annual discretionary bonus
• Healthcare
• Leave benefits
• Retirement plan
• Tuition reimbursement
• Support for working parents
• Flexible Time Off
• Employee Assistance Program