Quantitative Finance Analyst : 1200006938 Job Details

• Responsible for developing quantitative/analytic models and applications in support of the firm's enterprise consumer credit risk management effort.
• Responsible for creation of analytical methods to assess consumer credit risk of new and existing financial products.
• Staff in this role would be responsible for assessing, measuring, and monitoring standardized portfolio-level reportable metrics such as loss frequency, severity, cross-product correlations, risk capital, and other portfolio level risk measurements.
• May also contribute to calculations related to risk optimization, risk-return profile, capital adequacy, and regulatory reporting requirements.
• Responsible for developing models that evaluate consumer credit risk for new and existing products including stress testing, sensitivity analysis, scenario testing and Monte Carlo simulations.
• Also analyze models used by the business to ensure that risks within the business' financial models are properly identified and consistent (e.g. reviewing to ensure that product pricing takes into account expected losses appropriately given forward looking estimates).
• May also develop and/or maintain asset correlation estimates appropriate for a consumer portfolio.
• Individual contributor and reports to Quant Research Manager.
• Responsible for independently conducting quantitative analytics and modeling projects.
• Responsible for developing new models, analytic processes or systems approaches.
• Creates documentation for all activities and works with Technology staff in design of any system to run models developed. Incumbents possess excellent quantitative/analytic skills and a broad knowledge of financial markets and products.

Qualifications

Required Skills

• Degree in Math / Statistics / applicable scientific field
• Prior experience coding in SAS / Sequel / VBN
• 2-3+ years in Financial Services performing analytical or quantitative duties (with increasing responsibilities, where applicable)
• Demonstrated written and verbal communication skills with the ability to deliver technical and detailed analytics to a broad audience

• Advanced degree in one of disciplines above
• Experience with Netezza / Spotfire / Moody's Risk Frontier
• Familiarity with in-house DB's THOR, the "W"