Sr. Quantitative Finance Analyst
$125,000–$210,000 year
On-siteChicago, Illinois, United States
Job Summary
Conduct end-to-end market risk stress testing including scenario design, implementation, and results consolidation to analyze key drivers. Lead development of new models, analytic processes, and system approaches while creating technical documentation and collaborating with technology staff. Perform statistical analysis on large datasets to interpret results using qualitative and quantitative approaches for regulatory capital calculations under Basel 2.5 and FRTB frameworks. Manage model development and risk oversight for Counterparty Credit Risk, Internal Model Method, and Value at Risk metrics. Influence strategic direction and tactical plans for market risk assessment and stress testing initiatives.
Required Qualifications
- PhD (preferred) or master's degree in quantitative fields such as financial engineering, mathematics, statistics, physics, computer science, or equivalent
- Solid 5+ years of work experience in developing FO pricing models or market risk models
- Advanced programming skills in Python with 5+ years of experience
- Solid understanding of derivatives pricing
- In depth understanding of Value at Risk and statistical estimation methods
- Strong communication (both written and verbal) and collaboration skills
- Effective thinking skill to be able to independently and proactively identify/suggest/resolve issues
- 1st shift (United States of America)
- 40 hours per week
Desired Qualifications
- Work experience in FRTB
- Experience in large scale model platform implementation in collaboration with other teams
- Strong Operational Excellence mindset
- Effective organizational skill
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