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Manager, Quantitative Analytics

Location : Washington, DC
Job Type : Direct
Hours : Full Time
Travel : No
Relocation : No

Job Description :

 As a Quantitative Analysis Manager within the Model Risk Office, you will be part of the model validation team, working on the validation of capital markets and stress testing models. Some of the models the team covers include, but not limited to, derivatives valuation, term structure models, economic capital, investment valuation and OTTI. You will enhance your technical and analytical skills, while also working closely with business leaders to influence business strategy. With a network of over 200 quantitative analysts and statisticians, we’ve created a dynamic environment with plenty of room for you to learn, grow, and realize your full potential. 

Specific responsibilities may include, but are not limited to: 


- Leading model validation projects in capital markets, assessing the methodologies and processes used in model development, evaluating the model performance and, wherever applicable, developing benchmarking models

- Solving business problems with limited data and making conclusions with analytical justifications

- Providing constructive and actionable solutions to model issues identified

- Independently research, identify and prototype industry best modeling practices

- Communicating validation results to management, model owners, regulators, and auditors

- Leveraging education, colleagues and training opportunities to innovate solutions to business problems 

- Collaborating horizontally in risk management, assisting in other validation resource gaps as needed


Basic Qualifications:

- Master’s Degree

- At least 3 years’ professional experience in Fixed Income or Derivatives

- At least 1 year of experience programming in C, C#, C++, Python or MATLAB

Preferred Qualifications:

- Doctorate in quantitative fields

- 5+ years in no-arbitrage pricing and interest rate modeling

- 5+ years in fixed income analysis or hedging

-  Hands on experience with Polypaths, Murex, Calypso, QRM, Intex or Trepp

- Direct work experience with Option Adjusted Spread (OAS) methodologies and Monte Carlo simulation

- Skilled programming in Python, R or other open-sourced languages



Required Qualifications :
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