Sr. Quantitative Finance Manager
$203,000–$323,700 year
On-siteChicago, Illinois, United States
Job Summary
Direct a team of finance managers to develop and validate quantitative analytics and models for specific business units or risk types, including Counterparty Credit Risk and Value at Risk frameworks. Oversee model performance, governance, and regulatory submissions for Basel 2.5 and FRTB requirements while acting as a subject matter expert on technical documentation and model risk. Prioritize work in alignment with the bank's strategy, coordinate stakeholder engagement across Capital, Risk, and Technology groups, and lead methodological guidance for development and validation projects. Manage staff, conduct backtesting and sensitivity analysis, and communicate results to senior management and regulators to ensure timely remediation of model issues.
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 especially the IR option pricing models
- 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
- 40 hours per week
Desired Qualifications
- Work experience in IBOR/SOFR/ESTER/FRTB
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