Senior Quantitative Analyst
Job Title :- Senior Quantitative Analyst
Location :- NYC, NY (3 days a week)
Job Type :- Contract
Required Skills:
- Proven experience in pricing and risk modeling for fixed income trading products, with a focus on leveraged loans.
- Strong understanding of model theory, calibration techniques, and dynamics of one-factor interest rate models, including the Hull-White model.
- Advanced Python programming skills, with hands-on experience in testing financial models.
- Experience with Numerix or comparable vendor-based modeling systems.
- Proficient in designing and validating Profit and Loss (PnL) attribution frameworks.
- Deep knowledge of market risk concepts and regulatory standards, including Value at Risk (VaR) using historical simulation, model sensitivity analysis (Greeks), and model validation practices aligned with SR 11-7 guidelines.
- Demonstrated expertise in model development documentation, and implementation guides.
- Excellent communication skills both verbal and written.
- Collaborative Team player with a proven track record of taking initiative and delivering results.
- Excellent skills with Excel, Word and PowerPoint are mandatory.
- Advanced degree (Master's or Ph.D.) in a quantitative discipline such as Finance, Engineering, Physics, Mathematics, Statistics, Computer Science, or Quantitative Finance, with a strong background in modeling.
- Minimum of 7-10 years of experience in developing and/or validating trading book market risk models within the financial services industry.
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