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发帖数: 35 | 1 Title: Quantitative Risk Analyst
Level: Entry-level
Employer: Major US Bank
Location: Shanghai, China
Job Descriptions
- Utilize statistical/quantitative techniques to analyze market data;
develop and improve algorithms of time-series analysis.
- Responsible for the construction of covariance matrices that are used in
the simulations of Value-at-Risk (VaR) and counterparty risk exposure
calculations.
- Perform profit attribution analysis and hypothetical backtesting on
tradable products.
- Research new methods for capturing risk exposure, calculating value-at-
risk, and performing stress analysis.
- Enhance pricing models and simulation models for counterparty risk
exposure calculations. Perform regular backtesting.
- Assist in the design of risk reporting; provide assistance to risk and
business management on all aspects of market risk and counterparty risk.
Job Requirements
- Degree of M.S. or Ph.D. in a highly quantitative field, such as
mathematics, physics, statistics, or engineering.
- Very good quantitative skills, with knowledge of numerical methods, Monte
Carlo simulations, and statistical analysis.
- Very good programming skills, in C/C++.
- Knowledge on derivative pricing and financial products, risk management
practices and procedures is a plus.
If you are interested and match the requirements, please contact me (quant.
r***********[email protected]) with your CV.
(Note these are local positions and no relocation package is available.) |
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