Quantitative Analyst

Where

New York, NY

What you'll be doing

Improve existing and develop new simulation models for risk factors and products based on statistical, time-series analysis and econometric techniques. Build volatility, and correlation forecasting models across multiple risk factors, and products. Build and support calibration tools for the simulation models developed. Design tests to monitor and assess the quality of calibration results. Expand coverage of risk/capital models to new products/payoffs including cross-asset products. Design and implement tools for understanding and explaining model behavior.

What your background should be

Excellent knowledge and prior experience of time series analysis, factor models, dimension reduction techniques and statistical hypothesis testing. Excellent command of mathematics, modeling and numerical algorithms. Sound programming skill in Python, Matlab, or R. Familiarity with stochastic calculus, and probability theory. Knowledge of derivative pricing models, products and markets. Strong written and verbal communication skills.

Required Schooling / Training

PhD degree in mathematical statistics, economics, operations research or a comparable field, with a strong emphasis on time series analysis.

Who is the client company

The client is an American multinational banking and financial services holding company.

If you are interested in this position, send your resume to apply@kochdavis.com