Associate Principal, Quantitative Risk Management

Role Overview

The Associate Principal is responsible for one or more functions within Quantitative Risk Management (QRM) to develop and maintain risk models for margin, clearing fund and stress testing. The role involves model analytics and performance monitoring, model prototyping and testing, and model implementation.

What You Will Do

Develop models for pricing, margin risking and stress testing of financial products and derivatives. Design, implement and maintain model prototypes, model library and model testing tools using best industry practices and innovations.

Why It Might Be a Fit

The ideal candidate will have a Master's degree or equivalent in a quantitative field such as computer science, mathematics, physics, finance/financial engineering. Experience in technical and scientific documentation, problem-solving skills, and ability to challenge model methodologies are also required.

Requirements

• Financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra)
• Econometrics, data analysis (e.g., time series analysis, GARCH, fat-tailed distributions, copula, etc.) and machine learning techniques
• Numerical methods and optimization; Monte Carlo simulation and finite difference techniques
• Risk management methods (value-at-risk, expected shortfall, stress testing, backtesting, scenario analysis)
• Financial products knowledge: good understanding of markets and financial derivatives in equities, interest rate, and commodity products
• Basic programing skills: able to read and/or write code using a programming language (e.g., Java, C++, Python, R, MATLAB, etc.) in a collaborative software development setting
• Problem-solving skills: Be able to identify a problem's possible source, conduct study and provide reasoning in estimating severity and impact
• Ability to challenge model methodologies, model assumptions, and validation approach
• Experience in technical and scientific documentation (e.g., white papers, user guides, etc.)
• Business-oriented and responsible
• Good team player

Benefits

• Hybrid work environment, up to 2 days per week of remote work
• Tuition Reimbursement
• Student Loan Repayment Assistance
• Technology Stipend
• Generous PTO and Parental leave
• 401k Employer Match
• Competitive health benefits including medical, dental and vision