This person will be responsible for data modeling, and designing and executing the back tests and stress tests of margining methodology.Principal Responsibilities:
· Developing and enhancing VaR and stress test methodologies
· Designing additional statistical back-testing measures
· Identifying potential model issues by analyzing the results of the back tests and stress tests
· Participate in the development of risk management methodologies by enhancing existing analytical models and focusing on improving the econometric aspects of the research efforts
5+ years of experience in financial data modeling / analysis
Experience in working with VaR
Knowledge and Skills Required:
· Expertise in applied statistics and econometrics
· Strong knowledge of issues of financial risk management
· Strong knowledge of risk models such VaR and other risk measures
· Hands-on experience with R or SAS. Experience with SQL programming is a plus.
· Excellent communication and presentation skills.