Senior Financial Risk Analyst, EP&FP

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Requirements:

• 5 or more years of experience coding generators in MatLab based on papers/articles from recent industry-leading journals
• 3 or more years of technically-focused capital markets experience
• Basic Word, Advanced Excel and database applications (e.g., Access, Oracle, SQL or equivalent technology) and either statistical programs (ex.: SAS, Matlab, Gauss) or a computing language (C/C++)
• Working knowledge of Hull-White model, LMM, Heston, Stochastic Volatility, and Intensity credit models are required
• Experience with Bloomberg API
• Expertise in computational finance, statistics
• Advanced background in econometrics, statistics, math, and computational finance
• Working knowledge of VBA

Responsibilities:

• Performs economic scenario generation activities using both frequentists and Bayesian MCMC techniques including: optimization and debugging of Matlab and VBA code, re-evaluation of generator(s) parameters, tuning of generator input assumptions with minimal oversight, and analysis of comparative ESG techniques.
• Provides quantitative analysis for hedging via computing model-dependent Greek in continuous-time models and other capital markets related pricing activities with only minimal oversight.
• In the context of multifactor correlated Hull-White model, LMM, Heston Stochastic Volatility, Intensity and Structural credit models perform Risk Neutral Scenario Generation and Monte Carlo simulations-based pricing of exotic derivatives using variance reduction techniques.
• Ensures economic databases are kept up-to-date in support of department work, including ongoing reviews of source validation and comparative consistency.
• Participates in key unit and ad-hoc department projects as needed.