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发帖数: 35 | 1 Please send your CV to [email protected]
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Position Title: Risk Quantitative Analyst
Position Level: Entry-level
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Job Description
• Utilize statistical/quantitative techniques to analyze market
data; develop and improve algorithms of time-series analysis. Responsible
for the construction of covariance matrices that are used in the simulations
of Value-at-Risk (VaR) and counterparty risk exposure calculations (EPE:
Expected Positive Exposure; PSE: Pre-settlement Exposure).
• Perform profit attribution analysis and hypothetical backtesting
on tradable products. Research new methods for capturing risk exposure,
calculating value-at-risk, and performing stress analysis.
• Enhance pricing models and simulation models for counterparty
risk exposure calculations (EPE and PSE). Perform regular backtesting.
• Assist in the design of risk reporting; provide assistance to
risk and business management on all aspects of market risk and counterparty
risk.
Job Requirements
• Degree of MS or Ph.D in a highly quantitative field, such as
mathematics, physics, statistics, or engineering.
• Knowledge of derivative pricing and products, market risk
management practices and procedures, numerical methods, Monte Carlo
simulations, statistical analysis.
• Very good programming skills, in C/C++. |
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