Derivatives Risk Modeling Specialist

Fairygodboss; New York (NY); On-site; USD 100,000 - 130,000; Full time

Job summary

Fairygodboss is seeking an Associate for the Quantitative Research team in New York to specialize in Derivatives Risk Modeling and Analytics. You will develop and implement risk models and frameworks, conduct empirical research, and collaborate closely with senior team members.

The ideal candidate will have over 5 years of relevant experience, strong derivatives knowledge, and proficiency in Python. Join us in a dynamic work environment that values diversity and inclusion.

Qualifications

• 5+ years of quantitative research or model development focused on derivatives.
• Strong foundational knowledge of derivatives pricing theory.
• Understanding of portfolio-level risk concepts for derivatives.
• Ability to communicate quantitative findings to stakeholders.
• Proficiency in Python with experience in numerical computing and data analysis.

Responsibilities

• Develop and implement pricing and risk models for derivatives.
• Build sensitivity frameworks for efficient risk computation.
• Develop P&L attribution frameworks for derivatives portfolios.
• Implement stress testing frameworks for various risk scenarios.
• Conduct empirical research on volatility surface dynamics.

Skills

Derivatives pricing theory

Risk & Portfolio Analytics

Communication skills

Proficiency in Python

Education

Advanced degree in Financial Engineering, Mathematics, Physics, Statistics, or Computer Science

Tools

Bloomberg

QuantLib

Job description

Fairygodboss is seeking an Associate for the Quantitative Research team in New York to specialize in Derivatives Risk Modeling and Analytics. You will develop and implement risk models and frameworks, conduct empirical research, and collaborate closely with senior team members.

The ideal candidate will have over 5 years of relevant experience, strong derivatives knowledge, and proficiency in Python. Join us in a dynamic work environment that values diversity and inclusion.