686 Senior Quantitative Analyst Jobs in New York, NY
The Rockridge Group is Hiring a Senior Quantitative Analyst Near New York, NY
Job Description
- Develop APIs to for both open source and bank in-house quantitative libraries and market risk engines for both calibration as well as valuation use cases, e.g.
- Zero Curve Calibration / Bootstrapping
- Hull White Model Calibration
- Put-Call Parity Analysis on Market Vol Data
- SABR Model Calibration
- Cubic Spline Interpolated Zero Rates
- Credit Curve (Survival Probabilities) Calibration / Bootstrapping
- Risk Factor de-composition: Regression of NonModellable Z-Spread Risk Factor on comparable Modellable Z-Spread Risk Factors to determine Modellable Explained and NonModellable Unexplained Risk Factors
- PCA for Curve Validation
- FX Stochastic Volatility Model: Heston implementation
- Work with the development and pre-sales teams to prototype solutions for Market Risk and FRTB Use cases, e.g.
- FRTB Risk Factor Eligibility Test
- Shock generation for Equity Vol Smile using gap filling
- Reconstruction of Equity Index time-series using proxy weightings
- Aggregation of risk sensitivities in Risk Warehouse for the standardized approach
- MSc or PhD in Financial Mathematics, Mathematics or Physics or equivalent work experience
- Strong Knowledge of option pricing theory and financial mathematic
- Experience in a quantitative role for interest rates, FX or equities gained in an investment bank
- Experience in model’s development, programming and maintenance of model’s libraries
- Knowledge of derivatives products
- Strong programming skills in Python
- Good data modelling skills including some experience with RDMS
- Strong Excel
- Knowledge of Hadoop or Java would be good but not essential
- Prior experience of Open Gamma Strata or QuantLib would be good but not essential
Job Summary
Full Time
$94k-121k (estimate)
06/28/2024
07/13/2024
therockridgegroup.com
FRANKLIN, TN
<25
2016
GREG DONNER
<$5M
Business Services
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About The Rockridge Group
TRG is a privately held Limited Liability Company committed to connecting businesses with job seekers. We deliver high quality contingent personnel to our clients using our 3-step collaborative engagement model: Collaborate. We partner with you to understand the unique needs of your business before we propose a solution. Strategize. Based on your goals and staffing challenges, we develop high impact solutions designed for your industry. Engage. We work with your team before, during, and after every engagement to deliver 100% satisfaction. With over ten (10) years experience in the resource sol...utions sector, principals Greg Donner and Ronald Lom leverage the power of strategic partnership to create a powerful staffing model that improves your quality of hire. Lets fill your staffing needs together.
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The following is the career advancement route for Senior Quantitative Analyst positions, which can be used as a reference in future career path planning. As a Senior Quantitative Analyst, it can be promoted into senior positions as a Business Intelligence Specialist IV that are expected to handle more key tasks, people in this role will get a higher salary paid than an ordinary Senior Quantitative Analyst. You can explore the career advancement for a Senior Quantitative Analyst below and select your interested title to get hiring information.
