Senior Risk Quantitative Analyst

Strategic Risk Research is responsible for the firms research effort into cutting edge risk models. Current projects involve research into the appropriate use of fat tailed distributions in risk models, blending statistical models with economic structures and integrated scenario-probability representation (a generalization of Bayesian methods). SRR is also responsible for the development of prospective stress testing methods that will enable end users to map qualitative statements into quantitative market shifts. Job Description Senior quantitative analysts will be hands-on researchers in the effort to build out the firms new risk models. Depending on the individual this will include statistical analysis of large data sets, programming of prototype models and working on implementation and integration issues with the research trading risk team. Additional duties may include speaking at client seminars and other conferences to promote research and writing articles on risk methodology for various internal publications. Qualifications The ideal candidate has 5-10 years of experience with developing both buy-side & sell side risk modeling (factor models, VAR, specific risk) and a strong mathematical or statistical background. Other qualifications include: Knowledge of extreme value theory Knowledge of Bayesian statistics Knowledge of statistical estimation techniques and optimization. Excellent writing and speaking skills Experience with major statistical and software development packages (SAS, S+, Matlab) MS or PhD from a top University


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