DESCRIPTION:

Duties: Deliver end-to-end solutions for calculation of VaR, Stress and Regulatory Capital (FRTB SA and IMA). Employ various technologies and quantitative models, and design efficient numerical algorithms to deliver advanced solutions for market risk management. Implement new and maintain existing components of the time series analytics framework in Python. Create unit and end-to-end implementation testing. Provide support and assistance to peer MRQR, Technology and Market Risk Coverage teams. Liaise and collaborate with various functions such as Market Risk Coverage and Technology, Product Specialists and Front Office QR. Perform scenario analyses, develop and deliver quantitative tools, and support analytics. Conduct research on next-generation outlier detection and missing data imputation methodologies. Perform UAT of other platforms developed within the Market Risk infrastructure including big data. Create, maintain and enhance APIs and statistical tools used by MRQR.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Financial Engineering, Finance, Economics, Statistics or related field of study plus 3 years of experience in the job offered or as a Quantitative Research, Risk Modeling Specialist, or related occupation. The employer will alternatively accept a Bachelor's degree in Financial Engineering, Finance, Economics, Statistics or related field of study plus 5 years of experience in the job offered or as Quantitative Research, Risk Modeling Specialist, or related occupation.

Skills Required: Requires experience in the following: Java; React; Spark; JavaScript; REST; Python; SQL; Typescript; XML; Data Structures; Object oriented design; financial instrument pricing including bonds, loans, mortgages, securitized product; Interest Rates Swap.

Job Location: 545 Washington Blvd, Jersey City, NJ 07310. Telecommuting permitted up to 40% of the week.

Full-Time. Salary:  $200,000 - $285,000 per year.