Job Description:
Job ID(18708) |
Leading commercial bank in NY is looking for a quantitative PhD for their Market Risk team. The position will be responsible for leading the development, testing and implementation of models that support the pricing and valuing of Credit Derivatives and Synthetic CDO transactions.
This role will work closely with traders, controllers, and risk managers. The role requires an advanced degree (PhD strongly preferred) in a computational field, solid technical skills in risk system/model implementation in C/C++, VBA or Java, knowledge of RiskWatch, QuIC, Calypso, Summit, Matlab, SciComp, SAS, and S-Plus, and practical experience in risk modeling of Credit Correlation, CDO, and Synthetic CDO transactions.
The role also requires superior communication skills, deep understanding of OTC products, demonstrated managerial experience and the ability to communicate with both technical and non-technical staff and clients on OTC valuation models and issues.
Recruiter: Jim Geiger
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