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发帖数: 6336 | 1 Please see the job description below.
if you are interested, please send your resume to me [email protected]/* */,
or apply directly:
https://citi.taleo.net/careersection/2/jobdetail.ftl?lang=en&job=16045181
Thanks.
This role of quantitative analyst will include diverse responsibilities:
performing analysis on any issue in market risk, handling large amounts of
data, understanding the current risk model framework, supporting the
existing risk infrastructure within Risk Analytics, investigating the
feasibility of new risk models/approaches, developing models, implementing
regulatory rules, communicating with risk managers and businesses, etc.
This role has the opportunities to be involved in a few key initiatives of
the firm. One related to enhancing the model development documentation and
testing to meet regulators expectation. Another brought by the next
generation of market risk capital regulations (known as the Fundamental
Review of the Trading Book, or FRTB), the largest revision since 1996 when
VaR was first used for market risk regulatory capital calculation.
Qualifications:
• PhD degree (or master with equivalent experience) in a quantitative
field.
• Solid programming skills in C++ and scripting language (e.g., python
, Perl)
• Strong knowledge of derivatives modeling, stochastic calculus, and
statistics
• Great communications skills in both verbal and written. |
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