Vacancy expired!
Quant Developer (Investment, Credit/ Market Risk)(Developer Mastery)The OpportunityThe Capital & Investment Risk Management (C&IR) team within Enterprise Risk Management (ERM) is looking for a Quant Risk Developer to support business initiatives in a highly collaborative environment.As a quantitative risk developer and an analyst, you will be involved with quantitative model implementation, development, and analysis. The ideal candidate will work with a quant team to enhance ERM s analytical and reporting capabilities, by designing and developing new tools and risk frameworks.This is an excellent opportunity to collaborate with the portfolio managers, asset managers, traders and analysts for the general account (through the CIO s organization) and our client s asset management subsidiaries; and enterprise technology (including data science) teams.The TeamThe Capital & Investment Risk Management team is responsible for the identification, measurement and analysis of our client s portfolio, credit and capital risks. The team recommends risk management strategies and equips senior leadership with information they need to take advantage of opportunities and mitigate risks. Members of the team bring expertise and experience across a range of risk measurement and management disciplines, focused continuous improvement and development and business acumen.The Overall Responsibilities
- Implement, develop and enhance ERM s analytical capabilities related to credit/market risk across a wide range of fixed income asset classes.
- Use of Python/ SQL. Also, use of spreadsheets and VBA to do prototyping and analyze data
- Automate and expand the use of Moody s credit risk tools in place today and build risk- reward optimization
- Strengthen ERM s use and development of tools and analytics to support derivatives counterparty risk & portfolio concentration risk
- You will scope and implement modeling, including building out requirements where not yet fully defined or understood. You will be agile, accountable and resilient in driving results
- Building on our client s current approach, assist in developing and syndicating a comprehensive framework for measuring portfolio credit & market risk, that considers different accounting and capital regimes, including asset and liability impacts, with a particular emphasis on economic capital
- Minimum 5 years of relevant work experience in investment (credit/market) quantitative risk analytics
- High level skills in Python and SQL
- Strong quantitative model development & implementation skills and ability to validate analytical results
- Experience in quantitative risk modeling across a wide range of asset classes
- Graduate degree in a quantitative discipline
- Desire to use your quantitative and programming skills in a hands-on setting to deliver new functionality
- 5-7 or more years of relevant work experience is desirable
- Knowledge and experience working with derivatives and hedging risk management
- Experience in using Moody s Analytics credit risk tools is desirable
- Experience in CECL compliant portfolio credit models
- Previous experience working on liability driven investing projects within an insurance company is desirable
- Experience applying machine learning techniques in the financial industry is desirable
Vacancy expired!