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Quantitative Finance Analyst
Location : Illinois, Chicago
Refer job # FAHS341334

Job Responsibilities and Requirements: This team is responsible for monitoring and assessing the performance of all risk models used across Global Markets - supporting risk management in understanding the drivers behind material risk metric movement and the impact of model limitations, and working with the model development team to enhance and improve model accuracy and the overall performance of the analytics platform. Based in New York, your primary focus will be on the Market Risk VaR models, but you will have the opportunity to gain experience across all areas covered including Counterparty Credit Risk, Prime Brokerage, UMR-SIMM and IRC/CRM. This is an excellent opportunity to work in a fast growing, international team. As a Quantitative Finance Analyst your main responsibilities will involve: Performing in-depth analysis on the bank s risk model results using various quantitative tools such as backtesting, benchmarking, sensitivity analysis Quantifying the impact of model limitations both in terms of firm level capital and name level exposure From this analysis, pulling together the overall holistic picture of model performance along with clear conclusions on overall accuracy and remediation areas as required Identifying common themes across global markets along with improvement initiatives Communicating the results of this analysis to all model stakeholders including risk management, model development, model risk, senior management and our regulators Supporting model development in confirming remediation of model issues prior to their being taken live Driving incremental improvement to our model performance assessment toolset across all business areas As the Quantitative Finance Analyst your skills and qualifications will ideally include: Master degree and above (or equivalent), preferably in quantitative finance or a quantitative field Solid working experience in a related field (Market Risk, Middle Office, Counterparty Credit Risk). Model development experience is a big plus. Broad financial product knowledge Experience in data analysis, with excellent research and analytical skills Proven programming skills (Python, C , SQL, or equivalent object-oriented programming) Pro-active behaviour with capacity to seize initiative Good written and oral communication, interpersonal and organizational skills and ability to build and maintain relationships with personnel across areas and regions Ability to multitask with excellent time management skills Sense of focus and rigor in the completion of deliverables Posting Date : 09/12/2018.



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