On a daily basis this person will be responsible for leading a group of quantitative finance specialists in Quantitative Risk Methodologies. They will also be responsible for methodology improvement, future methodology development and implementation (jointly with other groups within Risk Analytics) in market and specific risk. Work will also involve Counterparty Exposure projects (curves simulations and calibrations; parts of pricing library), incremental default risk methodology development, review of risk factor choices (explanatory power), mappings, etc.

The ideal candidate will have an advanced degree in a Quantitative field. PhD is desired, MBA is preferred. Candidates should have a minimum of 3-5 years of industrial experience in Risk Management or quantitative analytics. Candidates must have excellent communication skills and deep knowledge of stochastic calculus, stochastic processes, SDEs, PDEs, Monte Carlo simulation, statistics, time series, and Numerical Mathematics. Candidates must have a broad knowledge of financial products including structured credit products.

Candidates should have a strong knowledge copula models for CDOs and basket credit derivatives; along with strong knowledge of Monte Carlo simulation for Market, Specific and Credit Risk. Good knowledge of Credit Regulatory and Economic Capital policies and documents, Basel II requirements. Working knowledge of financial software, such as KMV, CreditMonitor, Credit+, RiskWatch. Prefer candidates to have working experience in C/C++, Excel with VBA, MatLab.

For more information or immediate consideration, please reference Job#TR634 and submit resume in Word format to: ian@comprehensiverecruiting.com