VP - Quantitative Strategy

Taurus Search; New York (NY); On-site; USD 140,000 - 190,000; Full time

Job summary

A financial services firm located in New York is seeking an experienced professional to engage in market risk stress testing and quantitative modeling within the fixed income sector. The ideal candidate will have over 5 years of experience in quantitative modeling and a strong understanding of pricing for financial derivatives. Responsibilities include statistical analysis, scenario design, and support for financial model development and integration.

Qualifications

• 5+ years of experience in quantitative modeling & strategy focused on fixed income.
• Knowledge of pricing and risk models for financial derivatives.

Responsibilities

• Conduct market risk stress testing, scenario analysis, and reporting.
• Provide methodological guidance for development projects.
• Perform statistical analysis on large datasets.
• Provides methodological, analytical guidance for development/validation projects.
• Works with stakeholders and senior management on communication of outcomes.
• Develops financial models and tools to support fixed income desks.
• Integrates models into firm systems.
• Supports risk and pricing activities for fixed income trading desks.

Skills

Quantitative modeling

Statistical analysis

Financial derivatives knowledge

Fixed income

Risk analytics

Data analysis

Model integration

Job description

Responsibilities

• Performs end-to-end market risk stress testing including scenario design, scenario implementation, results consolidation, internal and external reporting, and analyzes stress scenario results to better understand key drivers
• Supports the methodological, analytical, and technical guidance to effectively challenge and influence the strategic direction and tactical approaches of development/validation projects and identify areas of potential risk
• Works closely with model stakeholders and senior management with regard to communication of submission and validation outcomes
• Performs statistical analysis on large datasets and interprets results using both qualitative and quantitative approaches
• Development of new financial models, analytics and tools to support the fixed income trading desks
• Integration of financial models into Firm systems.
• Tactical support of risk and pricing activities on the fixed income trading desks.

Professional Experience

• 5+ years of experience in quantitative modeling & strategy with a focus on fixed income and securitized products
• Knowledge of pricing and risk models for financial derivatives