Equity Quantitative Analyst
About The Position
The individual will be responsible for quantifying exposure related to equity products and conducting monthly stress testing. In addition, ad hoc stress scenarios will be performed to assess emerging risk factors. The stress‑testing framework will incorporate key market risk factors, including equities and equity derivatives, as well as counterparty credit risk through the probability of default. The role will provide subject‑matter input on quantitative market data methodologies, including standardization, use of proxies, data cleansing, and supporting operational processes. This includes defining and assessing data quality standards for use in counterparty pricing models. The individual will apply analytical and quantitative techniques to analyze, process, and validate data required for the development and implementation of new models.
Requirements
- Bachelor’s degree in a quantitative field, and 10 or more years of relevant experience OR MA/MS in a quantitative field, and six or more years of related experience OR PhD in a quantitative field, and five or more years of related experience
- Advanced knowledge of various regression techniques, parametric and non-parametric algorithms, times series techniques, and other statistical models
- Advanced knowledge of various model validation tests/methodologies
- Experience using SAS or similar statistical package
- Thorough data compilation skills
- Thorough programming skills
- Thorough qualitative analysis skills
- Thorough knowledge of the quantitative and qualitative risk factors, industry risks, competition risks, and risk management approaches
- Advanced understanding of applicable regulatory rules, guidance, or supervisory letters
- Ability to manage multiple tasks across various timelines
- Strong analytical, organizational, problem-solving, negotiation, and project management skills
- Demonstrated independence, teamwork and leadership skills
- Effective interpersonal, verbal and written communication skills
Responsibilities
- Quantifying exposure related to equity products
- Conducting monthly stress testing
- Performing ad hoc stress scenarios to assess emerging risk factors
- Providing subject-matter input on quantitative market data methodologies, including standardization, use of proxies, data cleansing, and supporting operational processes
- Defining and assessing data quality standards for use in counterparty pricing models
- Applying analytical and quantitative techniques to analyze, process, and validate data required for the development and implementation of new models
Benefits
- Healthcare (medical, dental, vision)
- Basic term and optional term life insurance
- Short-term and long-term disability
- Pregnancy disability and parental leave
- 401(k) and employer-funded retirement plan
- Paid vacation (from two to five weeks depending on salary grade and tenure)
- Up to 11 paid holiday opportunities
- Adoption assistance
- Sick and Safe Leave accruals of one hour for every 30 worked, up to 80 hours per calendar year unless otherwise provided by law
- Incentive and recognition programs
- Equity stock purchase
- Pension
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What This Job Offers
Job Type
Full-time
Career Level
Senior
Number of Employees
5,001-10,000 employees
