Quantitative Analyst / Quantitative Analyst Job Description
Quantitative Analyst / Quantitative Analyst Duties & Responsibilities
To write an effective quantitative analyst / quantitative analyst job description, begin by listing detailed duties, responsibilities and expectations. We have included quantitative analyst / quantitative analyst job description templates that you can modify and use.
Sample responsibilities for this position include:
Quantitative Analyst / Quantitative Analyst Qualifications
Qualifications for a job description may include education, certification, and experience.
Licensing or Certifications for Quantitative Analyst / Quantitative Analyst
List any licenses or certifications required by the position: CFA, FRM, PRM, SAS, CQF, PMP, CPA, ISA, QSA, CISA
Education for Quantitative Analyst / Quantitative Analyst
Typically a job would require a certain level of education.
Employers hiring for the quantitative analyst / quantitative analyst job most commonly would prefer for their future employee to have a relevant degree such as Master's and Bachelor's Degree in Mathematics, Finance, Statistics, Engineering, Physics, Computer Science, Economics, Technical, Education, Applied Mathematics
Skills for Quantitative Analyst / Quantitative Analyst
Desired skills for quantitative analyst / quantitative analyst include:
Desired experience for quantitative analyst / quantitative analyst includes:
Quantitative Analyst / Quantitative Analyst Examples
Quantitative Analyst / Quantitative Analyst Job Description
- Familiarity with the INTEX cash flow modelling library
- Fluency in C++ language and design patterns
- Self motivated and innovative, with problem solving skills
- Knowledge of interest rates and Rates and FX models (HW, LMM, HJM, local volatility models)
- A team player, working in partnership with the rest of the DBA team and stakeholders in FO, GTO, Risk and Finance
- Innovative, working on best in class solutions for pricing and risk management
- Disciplined, properly documenting and testing models
- Experience in coding in C++ in a managed codebase is a plus
- Supports analysis of bulk vs
- The candidate will learn about our client needs and validate the quantitative analysis of models to fulfill those needs
- Masters &/or CFA preferred
- 5 + years of experience with financial/econometric modeling and data analysis
- Must be able to write in a technical matter to clearly document model development process
- Demonstrated knowledge of financial modeling, econometric, and statistical methods
- Must be able to work independently and proactively and take initiative in
- Proven track record within a banking institution working in a methodology function or risk change quantitative business analyst
Quantitative Analyst / Quantitative Analyst Job Description
- Perform stress tests and on-going performance analysis
- Quantitative Analyst will conduct quantitative research and be instrumental in the design and development of quantitative investment strategies across various asset classes
- Create and modify existing models including mapping out work and process flow with details documentation
- The analyst will build applications to meet the risk management and portfolio construction needs of the broader organization
- Maintain interest and up-to-date understanding of problems affecting the business and recommend and implement solutions for streamlining and improving workflow efficiency
- Produce summary statistical analysis for portfolio management purposes
- Research projects as directed involving intensive data collection and analysis
- Support Quantitative Analyst and Senior Portfolio Managers with research and publishing efforts, financial modeling, and statistical analysis
- Assist Quantitative Analyst with creating and presenting data to brokers and institutional clients
- Independent spot checking of data to verify accuracy and integrity
- Strong understanding of the software development lifecycle (SDLC) process required for model implementation
- Strong understanding of the computational finance workflow covering model calibration, execution and reporting
- Strong written communication skills with experience in writing methodology business requirements documents and technical notes
- Strong understanding of trading book and banking book products covering OTC derivatives (Credit derivatives, fixed income
- Master�s degree or Phd in a quantitative discipline such as Econometrics, Financial Engineering, Physics, Mathematics or Statistics
- Professional qualification in Risk management or quantitative finance such as GARP, PRMIA, CQF or CFA
Quantitative Analyst / Quantitative Analyst Job Description
- Counterparty credit exposure simulation and pricing models for cleared derivatives, exchange traded derivatives, and listed products
- Non-cleared swaps and derivatives margin rules methodology, including SIMM
- Model testing, including support for backtesting, stress testing, quant developer testing during model development
- Engage model validation, providing documentation, data and explanations to support the model risk and governance process
- Engage risk managers and senior management in communication and impact assessment activities prior to model release into production, for follow-up discussions and explanations of post-production model impact
- Support front office credit risk management, including risk officers, traders, and sales and trading
- Support calculation of exposure measures (EPE, EAD, CVA) used for both internal risk management and regulatory capital calculation
- Model development for IMM (Internal Models Method)
- Develop econometric models based on behavioral analysis to support financial and credit risk forecasts including but not limited to loan prepayments, deposit attrition, and RWA credit analysis
- Develop and improve deposit attrition and balance models for IRR and FTP
- Experience using SAS (including statistical modeling), SQL, VBA, and Business Objects
- Previous CCAR experience is preferred
- Prefer a Ph.D
- Solid understanding of derivative products and excellent quantitative skills are required
- Broad background and deep understanding of derivative asset classes including credit derivative, emerging market derivative, structured fund derivative, MBS, BSM, ALM, interest rate derivative, equity derivative, metal derivative etc, and traded risk models, methodology, and processes
- Substantial programming experience is required
Quantitative Analyst / Quantitative Analyst Job Description
- Perform any other relevant tasks
- Lead efforts to rewrite our stress testing infrastructure
- Administrate risk limits
- Development and maintenance of financial models used in risk measurement, income simulations, balance sheet management, or asset valuations
- Analysis of model output, synthesis of information, and communication of conclusions and recommendations in a clear and concise manner to senior managers, executives, and the Board
- Testing of established models, including back-testing, benchmarking, sensitivity testing, and scenario analysis
- Develop automated solutions to simplify challenging and repetitive processes
- Build and refine predictive and descriptive analysis to improve insights, enhance data-driven strategies, decision making insight/recommendations, and improve profitability
- Manage campaign execution, scheduling and allow for target new offers to different customer segments at different prices/offers through different sales channels
- Work with stakeholders to assess business needs and develop analytic project plans/strategy
- The candidate must have a strong understanding of cleared CME IRS and other OTC products, IRS pricing and risk models used by CME
- Experienced within performance analysis
- Developing derivatives pricing models
- Advanced degree in risk, finance, mathematics or statistics or related discipline (Ph.D, MBA, ) preferred
- 3+ years of investment banking, corporate banking, FP&A, stress testing experience highly desirable
- Advanced knowledge of CCAR, FR Y-14A, FR Y-14Q, FR Y-14M forms helpful
Quantitative Analyst / Quantitative Analyst Job Description
- Evaluates and enhances current mathematical models related to underlying assumptions, theoretical foundations, statistical and mathematical methods, empirical evidence, data quality and software implementation
- Ad hoc statistical and mathematical support bank-wide
- Coordinating capital model implementation projects for the assigned Market and Business risk models
- Collaborating with Capital management technology teams in analyzing present-state, developing alternative future-state approaches, design of systems and processes, managing change and facilitating implementation of model updates
- Providing project charters, business requirements documents, test planning, design input and reviews, implementation approval documentation, and coordination with production release management
- Partner with a mentor to get up to speed on Citizen’s functions and modeling functions
- Under the guidance of his/her manager, responsible for developing and executing all aspects of consumer and commercial PPNR models and for ensuring full compliance with regulatory and accounting requirements, while providing credible direction to support business decisions
- Perform validation on the Bank's quantitative models in accordance with industry and SR11-7 standards, and develop challenge models as needed using statistical techniques
- Assist in model and risk management governance and administration
- Assist in the preparation of presentations for executive management, model risk committees, and the Board of Directors' risk committees
- Applying knowledge of commercial banking, including risk decisions, including extension of credit, loan modifications, and prepayment
- Applying demonstrated knowledge of modern risk management techniques, including Value-at-Risk, Basel, and Stress Testing
- Developing and implementing both cross-sectional statistical models and time series methodologies across common statistical model types (e.g., linear and logistic regression)
- Identifying and resolving issues associated with serially correlated econometric modeling
- Passion for investing with a strong desire to be an integral part of a multi-asset investment process
- A highly collaborative temperament comfortable engaging with senior investors across the firm and working in a fast paced environment