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Stress Testing Modeler
Ref No.: 17-03599
Location: New York, New York
Position Type:Contract to hire
Pay Rate : $ 80,000.00 - 100,000.00 /Year
Job Description:

Develop, maintain, and apply stress testing framework for assessing the impact of global macro-economic scenarios on the firm's profitability and capital adequacy. The framework captures all risk types across all businesses world-wide. Important role in scenario expansion, and support diverse other stress-related activities.

Looking for:

– a Master's or PhD degree in applied quantitative discipline (e.g. Economics, Statistics, Financial Engineering, Computational Science, Finance)
– 2 to 5 years of Risk Modeling/CCAR experience

– some experience in building models from scratch (e.g., time series analysis, linear/non-linear models, Gaussian/non-Gaussian models, parametric/non-parametric models)
– sound knowledge of statistical and econometric methods and their application
– programming knowledge. Experience in writing code is essential (spreadsheet macros don't count)
– strong analytical, conceptual, and organizational skills with the ability to work under tight deadlines
– general understanding and interest in (macro-) economic mechanisms and their influence on financial markets
– an understanding of the following terms: stationarity, OLS, R-squared, Akaike, goodness of fit, out-of-sample, null hypothesis, p-value, risk-neutral, collinearity, heteroscedasticity, quantiles
– proficient in programming with statistical software (R, Matlab)


Third Party Applications Not Accepted