Financial Engineer Position (Asset/Derivatives Modeling)

Seeking a middle to senior level analyst to work in the Quantitative Analysis Department within Enterprise Risk Management function. The Department is responsible for analytical modeling in areas of Market, Credit and Operational Risk, is involved in development of models for Economic Capital and Asset & Liability analyses and assists in deployment of risk analytics systems

Responsibilities include:

  • Participate in the development and implement of valuation models and risk measurement and management tools for structured securities (mortgage backed securities, asset backed securities, collateralized debt obligations, equity-linked notes, etc.) and derivatives
  • Participate in the model review and validation of models used by various corporate functions and business units
  • Participate in the ALM modeling and strategic asset allocation, focusing on the roles of structured securities and derivatives
  • Participate in market risk and credit risk measurement and management of structured securities and derivatives
  • Participate in the evaluation of third-party solutions (models, data, software, etc.) for structured securities and derivatives and in-house implementation and validation

Required Qualifications include:

  • M.S. or Ph.D. in a quantitative field
  • 3+ years of experience in the area of valuation (fixed income securities, derivatives, or other financial products), model development, implementation and validation, and/or risk management (market risk, credit risk, asset-liability management)
  • Strong quantitative skill and broad knowledge of derivatives and fixed income securities, with focus on structured securities (MBS, ABS, CDO, etc.)
  • Strong development skill and especially programming skills with C++
  • Good communication and interpersonal skills


Back to Job Index