Lead Associate Principal, Quantitative Risk Management (QRM)

Our client is seeking a Senior Associate Principal in Quantitative Risk Management. This role presents an engaging opportunity to develop and maintain risk models for margin, clearing fund and stress testing. The successful candidate will be at the forefront of model analytics and performance monitoring, model prototyping and testing, and model implementation.

Key Responsibilities:
As a Senior Associate Principal in Quantitative Risk Management, you will play a pivotal role in developing models for pricing, margin risking and stress testing of financial products and derivatives. You will design, implement and maintain model prototypes, model library and model testing tools using best industry practices. Your expertise will be crucial in implementing new models into the model library as well as enhancing existing ones. You will also be responsible for writing and reviewing documentation for the models.

• Develop models for pricing, margin risk and stress testing of financial products and derivatives
• Design, implement and maintain model prototypes, model library and model testing tools using best industry practices and innovations
• Implement new models into model library and enhance existing models
• Write and review documentations (whitepapers) for the models, model prototypes and model implementation
• Perform model performance testing, including portfolio back-testing using historical data
• Review the implementation of models and algorithms, focusing on requirement verification, coding, and testing quality

Key Requirements:
The ideal candidate for the Senior Associate Principal position brings a wealth of experience in quantitative areas in finance along with proven skills in model implementation and testing. You have a strong background in risk management methods such as value-at-risk, expected shortfall, stress testing among others. Your proficiency in database technology like SQL along with experience in non-relational DBs is highly desirable. Experience with scripting languages such as Python or MATLAB is essential. Additionally, your ability to produce high-quality technical and scientific documentation will be crucial in this role.

• Master's degree or equivalent in a quantitative field such as computer science, mathematics, physics, finance/financial engineering. PhD preferred.
• 7 years of experience in quantitative areas in finance and/or development experience in model implementation and testing.
• Experience in risk management methods (value-at-risk, expected shortfall, stress testing, backtesting, scenario analysis)
• Proficiency in database technology and query languages (such as SQL). Non-relational DB and other Big Data, cloud-based computing experience is a plus.
• Experience in a scripting language such as Python, R or MATLAB.
• Proficiency in technical and scientific documentation (e.g., white papers, user guides, etc.).

What sets this company apart:

• Our client is a leading firm in the financial industry. They are known for their commitment to innovation and excellence.

What's next:

If interested in this position, please contact Michael Kelly at 1 332 205 3880 or Michael.Kelly@robertwalters.com