Responsibilities
Solve puzzles, provide insights and develop creative solutions that impact the department and Firm. This will be achieved through one or more of the following activities:
Model Development
• Research, develop, enhance and document risk models, methodologies and tools for regulatory and risk management purposes
• Perform analysis including back-tests, stress tests, scenario and sensitivity analyses
• Program, test and implement quantitative financial methods using tools such as Python, C++, VBA, R, MATLAB and SQL
• Utilize advanced statistics, econometrics and mathematics skills such as probability theory, stochastic calculus, Monte Carlo simulation, numerical analysis, optimization techniques and time series analysis
• Partner with Technology on model testing, implementation and production
• Provide documentation and responses to regulators and internal validators, contributing to regulatory exams and projects
Model Validation
• Provide independent review and validation of Firm models, for example equity derivative pricing and risk capital models, using tools such as Python, C++, VBA, R, MATLAB and SQL
• Collaborate with teams within the Firm to provide regular ongoing model performance assessments. Review analysis results with senior management and provide recommendations
• Learn about the Firm’s governance framework for models used in all divisions
• Write high-quality model review documentation that satisfies the Firm’s internal model approval functions, audit requirements, and the Firm’s regulators (e.g. FRB, OCC, and PRA)
Qualifications/ Skills/ Requirements
• Strong technical skills in Python, C++, VBA, R, MATLAB and/or SQL
• Understanding of complex financial products (derivatives, options, swaps, etc.), financial markets and key regulations
• Outstanding communication skills; able to present complex issues verbally and in writing
• Analytical thinking and problem solving skills
• Self-starter and highly organized
• Intellectual curiosity
• Minimum cumulative GPA of 3.0
• In penultimate year of study toward a degree; Master's or Doctoral students in a quantitative field (Financial Engineering, Statistics, Physics, Mathematics, Engineering, etc.) are strongly preferred
