Associate Principal, Quantitative Risk Management (QRM)

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

Key Responsibilities:
As an Associate Principal in Quantitative Risk Management, your role will be pivotal in developing models for pricing, margin risking and stress testing of financial products and derivatives. You will design, implement and maintain model prototypes, ensuring they adhere to industry best practices. Your expertise will be crucial in writing and reviewing documentation for these models. You will also perform rigorous performance testing on these models. Your responsibilities will extend to providing quantitative analysis support to risk managers on pricing, margin, and risk calculations.

• Develop models for pricing, margin risking 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.
• Write and review documentations (whitepapers) for the models, model prototypes and model implementation.
• Perform model performance testing, including portfolio back-testing using historical data.
• Conduct comprehensive quality assurance testing on model library including constructions of test cases, automation of model unit testing and creations of reference models if needed.
• Provide quantitative analysis and support to risk managers on pricing, margin, and risk calculations.

Key Requirements:
The ideal candidate for the Associate Principal role in Quantitative Risk Management brings a Master’s degree or equivalent in a quantitative field such as computer science, mathematics, physics, finance/financial engineering. You have at least 4 years of experience in quantitative areas in finance and/or development experience in model implementation and testing. Your strong quantitative skills are complemented by your deep understanding in financial mathematics. You are proficient in technical and scientific documentation and database technology and query languages. Experience in a scripting language such as Python, R or MATLAB is also required.

• Master’s degree or equivalent in a quantitative field such as computer science, mathematics, physics, finance/financial engineering.
• 4+ years of experience in quantitative areas in finance and/or development experience in model implementation and testing.
• Strong quantitative skills with deep understanding in financial mathematics (derivatives pricing models, stochastic calculus, statistics and probability theory, advanced linear algebra).
• Proficiency in technical and scientific documentation (e.g., white papers, user guides).
• 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.

What sets this company apart:

• Our client is a leading player in the financial services industry, 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