Quantitative Analyst / Quant

Employer
IRIS Software, Inc.
Location
New York, USA
Salary
DOE
Posted
Sep 03, 2022
Closes
Oct 03, 2022
Ref
16238207
Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Iris' Direct Client, a multinational investment bank who offers advisory, financing and risk management services to large companies, institutions and government clients is looking to hire a strong Market Risk Analytics for a Long Term Contract opportunity.

Location: 100% Remote Role - EST/CST time zone preferred

JOB DESCRIPTION

20-30% - managing stakeholders

60-70% - code analysis, create models (spreadsheet, product knowledge - with VAR/ what happens with shifts), prototypes, reviewing with this information with stake holders

(derivative products - bonds sensitivities, pricing of them ), some credit risk space would be ideal

If someone had- CVA ( Credit valuation adjustment ) for one of the roles that would be a plus as well

Takes the data from query perspective and then works on computation side - VAR/Stress Testing

Solid understanding of Greeks with computations -how interpret the Greeks

If someone can understand the other product such Bonds, credit - Macro, interest rate swaps, options that Greeks that could substitute for market risk

Front office Risk

Analytics BA ( Stress and VAR ) - Historical simulations for VAR, IRC Incremental Risk Charge, CVA (Credit Valuation Adjustments)

Market risk experience is ideal

What We're Looking For:

Graduate or Master's degree - preferably in Finance, Maths or Science

Certifications in Finance or Risk e.g. FRM, CQF - desirable, not essential

Knowledge of:

Financial Products (e.g. Bonds, CDS, Equity Options) and their Valuations

Sensitivities like Delta, Gamma & Vega

Value At Risk computation methodologies like Historical Simulation.

Stress Testing computations.

SQL & MS Excel (advanced level)

FRTB IMA regulations a PLUS.

Incremental Risk Charge (IRC) computations is desirable, not essential

CVA-VaR computations is desirable, not essential

Python is desirable, not essential

Anurag Dang

Iris Software

200 Metroplex Drive, Suite #300

Edison, NJ 08817

Mobile: 732-535-0734

anurag.dang@irissoftware.com

www.irissoftware.com
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