Ofertas Laborales

Quantitative Analyst


DESCRIPCIÓN DEL EMPLEO
Lugar de trabajo: Vicente Lopez
Vacantes: 4

CRISIL is seeking for a Quantitative Analyst to be part of a highly skilled Front Office testing team responsible for Equity Trading models as per regulatory requirement for a major Tier-1 US bank. The role is responsible for the scrutiny and testing of risk models including the assessment of key model assumptions and limitations under all market conditions, using quantitative/statistical tools and calibration techniques for performance testing and benchmarking of the model, along with documentation of FO Equity Product Pricing models to assure compliance with corporate policy and regulatory guidance. Duties will include, but not be limited to, the following: • Understand the model scope, investment products involved and methodology in detail. • Learn proprietary system and other required language in short span of time. • Identify the key model assumption and limitation of the model in order to properly design testing cases using cutting-edge methodologies. • Scrutiny of assumption and limitation using quantitative and statistical tool. • Data retrieval, cleaning and handling as required during the FO testing process. • Front Office testing design for derivative pricing models for vanilla and exotic derivatives, including numerical stability, consistency tests, arbitrage tests, pricing and Greek analysis, sensitivity tests, stress tests, CCAR/DFAST tests, Profit & Loss tests, among others. • Performance assessment of the FO pricing model in all market condition. • Independently develop methodologies to challenge the model by benchmarking it with market known or alternative methods. • Propose solution for the identified unpleasant behaviors or weaknesses, limitations or restrictions for FO models and provide relevant feedback to the Line of Business. • Raise recommendations to capture the risk of model failure in changing business environment. • Produce written summaries of research, scrutiny and assessment of testing results in fulfillment with Model Development Document standards as per regulatory requirement. • Interaction with model developer, model user, data provider, and system support for relevant information. Basic Qualifications • Master’s degree in programs such Mathematics, Physics, Engineering, Finance or Quantitative Finance, with 0-3 years of related industry experience.



REQUISITOS QUE DEBEN CUMPLIR LOS POSTULANTES
Area de estudio/Especialidad: Ingeniería Industrial
Experiencia: no
Idioma: Ingles avanzado
Nivel de conocimiento: avanzado
Lugar de residencia: Vicente Lopez
Remuneración Bruta Estimada: no especifica


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