Responsibility:

Apply advanced quant techniques to research & design risk measurement methods; development VaR, Stress Test, Factor model analyses; implement risk measurement methods; implement risk mgt plans & procedures at portfolio & security levels; build math models to measure risk; conduct comp simulations to assess risk; apply option pricing theory; implement sys for measuring risk for futures, fixed income securities, credit derive products; construct & implement proprietary risk indicators; model complex financial products to calibrate risk; improve accuracy & efficiency of risk models; lead risk report development projects to automate daily report production & reduce development cycle of new reports; build proprietary VaR models; implement option analytics; build CDS analytics; prep liquidity & interest rate risk analyses & report packages; prep analyses of risk based capital & net interest margin; development counterparty risk analysis tools; construct financial models & algorithms to measure risk profile of portfolios;


Requirements:
Master's degree in math, physics, computer science or other quantitative fields;
Proficient with Excel, VBA, SQL; MATLAB or C, C++, C#;
3 months experience in job offered.