Quant Risk Manager

A leading Financial Client of ours is looking for a Quant Risk Manager to work out of Chicago, IL. This is a fulltime position offering base salary benefits (Insurance Bonus Holidays)

Experience:

• 6 years of experience in pricing complex derivatives and performing advanced statistical analysis on underlying risk factors.
• Very strong expertise (3 years) with Bond Mathematics, Fixed income Pricing and Risk modeling as well as with team management
• 3 years in developing risk models (e.g. Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, and Liquidity Risk models) as well as model evaluation techniques (backtesting, sensitivity analysis, coverage statistics, etc.)
• Experience providing theoretical justifications of risk models, for internal as well as external stakeholders. Also experience in developing risk model transparency and what-if analytics for risk managers, end users and regulatory stakeholders alike.
• Experience in writing model documentation and technical presentations

The following would also be considered a plus:

• Experience in developing the type of risk models used by clearing houses and market risk teams
• Experience with modern OO libraries, implementing pricing or risk frameworks

Skills & Software Requirements:

• Proficiency in programming languages such as C , Python, VBA and SQL is essential.