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发帖数: 35 | 1 Please send your CV to [email protected]
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if interested.
Position Title: Risk Quantitative Analyst
Experience Level: Entry Level
Location: Shanghai China
Job Description
• Understand credit risk management systems, data flow, data
definition and data requirement for various trading products. Utilize this
knowledge to perform various analyses to meet risk managers and business
needs.
• Conduct counterparty credit risk model analysis and backtesting
required by regulators and model performance reviewers.
• Specify exposure calculation methods for counterparty risk
management and regulatory capital requirement.
• Interact with other risk management teams, with the front office
and with various technology groups to coordinate implementation of
improvements to risk models and also support any related production
processes.
• Conduct Ad-hoc data analysis to support regulatory inquiries,
internal capital optimization.
• Prepare reports and analysis for presentation to senior
management and regulators.
Job Requirements
• Educated to postgraduate level, with an excellent academic record
in a quantitative field (e.g. mathematics, physics, statistics, etc.).
Master or higher degree is strongly preferred.
• Good programming skill and data analysis capability are essential
, especially in Perl, C/C++, VBA, and basic database skills in either Oracle
or Sybase.
• Good communication skill is required.
• Experience of one or more of the following is an advantage but
not essential: derivative pricing and exotic products; risk management
practices and procedures; numerical methods; Monte Carlo simulations;
statistical hypotheses testing.
• Keen interest in banking and finance, especially in the field of
Risk Management.
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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. |
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