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发帖数: 1587 | 1 post for my recruiter, please contact them directly.
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Contact : 201 468 0519
Statistical Modeling-(PhD) - New York
Our clients, top-tier Management consulting firms advising international
banks and other financial firms based in NY, are looking for PhDs with
strong statistical modeling skills to join Quantitative Research & Analytics
teams.
The group conducts extensive research and builds prototype models that
estimate the economic stress on the credit risk of structured finance
transactions.
The ideal candidate must have a Quantitative PhD, and have:[a clear
understanding of the fundamentals of different statistical estimation
methods, hands-on experience working with data, an appreciation of practical
data and estimation problems, good economic intuition to explain micro and
macro economic situations to an economist and an ability to communicate
ideas in verbal and written form]. The Candidate may be in Academia or
business with 4-6 years of relevant experience. The Candidate must have
knowledge of SQL and Matlab statistical platforms, expertise in one [SAS,S-
Plus, or Stata] and must have experience working on linear progression, time
series and statistical survival estimation models.
Keywords: Econometric Models, PhD, Statistics, Economic Research, Linear
Progression, Time Series, Matlab, SAS
Senior Risk Management Analyst
Our client, a Global Financial Firm in NYC is looking to add a Senior member
to their Risk Management Team to focus on Corporate Credit Risk Modeling.
The successful candidate will be the firms main risk resource for corporate
credit risk modeling, covering high yield and investment grade instruments;
credit default swaps; correlated defaults in structures; losses given
default; and correlated recoveries. He or she will be responsible for
creating or vetting valuation models instruments with corporate credit risk
(including spread and default risk) for high yield, bank loan, hybrid, and
investment grade corporate credit instruments at all levels of the capital
structure. In addition, the successful candidate will be expected to
understand strategies for generating credit alpha and for dealing with
corporate credit risk on a more qualitative level, and to have extensive
practical experience with high yield, bank loan, hybrid and other credit
instruments in a trading and/or portfolio management environment. The risk
manager/modeler will work with the portfolio management area to structure
portfolios and to provide an independent view of portfolio risk. Although
the role is not primarily a policing role, the risk manager/modeler will be
expected to escalate risk issues where he or she feels the risk/reward
tradeoffs are not appropriate.
Experience with as many of the following as possible is desirable:
Quantitative default modeling. Reduced form and structural models. Modeling
spread movements and correlations. Implied defaults from cash bond and CDS
curves; basis risk. Modeling bond covenant and capital structure effects on
volatility. Modeling correlated defaults and recoveries. Calculation of
counterparty current exposure (CE) and potential future exposure (PFE).
The successful candidate will have a Ph.D. in a quantitative discipline with
a minimum of at least five years' experience as a “desk quant,” trader,
trade analysis support, risk manager, portfolio analyst, or portfolio
manager. Experience with model development, testing, and implementation,
preferably experience with SAS, Matlab, FinCad or other modeling/statistical
software. A detailed understanding of fixed income markets, trading and/or
portfolio management processes, practical business applications and ability
to articulate ideas and develop recommendations under uncertainty and
regarding "grey areas", and ability to obtain data and information from
disparate sources, link and analyze the information, perform data integrity
checks, and conduct analysis
Sr. SAS Quant Developer
Our clients, top-tier Management consulting firms advising international
banks, are looking to add Senior Quantitative Developers who will be
responsible for the design, development, programming, and testing of risk
and analytic systems and calculations, specifically the implementation of
quantitative models for security valuation and Monte Carlo and related
simulation techniques.
.He/she will work closely with the quantitative risk managers (financial
engineers) to understand and implement their models in a robust and
supportable manner, in adherence with sound IT practices
Responsibilities include:
· Actively communicate with Quantitative Risk Analysts and Financial
Engineers to understand and to document quantitative models for: valuing
complex securities; simulating historical, statistical and theoretical
scenarios; computing deterministic and statistical risk measures.
· Design, develop and test software to implement the above models using
SAS, mathematics/statistics/financial libraries as well as procedural,
object-oriented and scripting languages such as PERL, Java, PL/SQL and/or C+
+ as required.
· Develop high quality code that is efficient (fast), supportable, and
follows industry best practices.
· Coordinate and support the testing of models with QA and Risk
Department by execute tests and providing results and supporting data.
· Support production Risk System and models by researching and diagnosing
issues, answering user/business questions, and rectifying issues as
required.
· Produce appropriate project documentation including schedules, system
requirements, technical designs and testing plans and results.
· Interface directly with development and operational groups in support
of software and production releases
Qualifications include:
· Minimum of 5 years of hands on development experience developing
financial models
· Expert in quantitative languages/libraries including at least 3 years
experience with SAS. Experience with SAS’s Risk Dimensions product is
preferred.
· Three or more years of experience with one or more advanced object
oriented programming language such as Java or C++
· Experience with IT methodology and best practices. Involvement with
all phases of the Software Development Life Cycle (SDLC) is preferred.
· Would prefer direct experience working for an IT department, including
involvement in the development of any form of enterprise class or enterprise
-wide software development.
· Moderate to expert knowledge of relational databases (Oracle preferred)
and Store Procedures required.
· Familiar with a broad array of Fixed Income products including
Structured Product (RMBS, CMBS, CDO, ABS) and IRS/CDS/CDX swaps and other
derivatives.
· Familiar with common fixed income analytics and risk measurement
terminology and calculations.
· Prior experience implementing or enhancing a risk management system is
a huge plus. |
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