Quantitative Risk Modeler
4 weeks ago
We are seeking a highly skilled Quantitative Risk Modeler to join our team at ZAR IT Solutions. As a key member of our Fixed Income team, you will be responsible for maintaining and enhancing our in-house fixed income risk models.
Key Responsibilities:
- Maintain and enhance in-house fixed income risk models
- Design and produce model performance metrics and reports to support communications with both internal model users and external supervisors
- Independently format and validate analysis results to ensure quality
Qualifications:
- 5+ years of working experience and must have 3+ years of hands-on experience in quantitative models, research, with deep understanding in fixed income and/or market risk
- Fluent in at least one high level programming language (Python, C++, Java, etc.). Familiarity with SQL is a plus
- Knowledge of treasury securities and/or mortgage-backed securities pricing and VaR modeling a big plus
- Strong analytical and problem-solving skills
- Excellent communication skills, both oral and written
- Master's degree or above in a quantitative field of study
About Us:
- The Government Securities Division (GSD) of the Fixed Income Clearing Corporation (FICC) provides real-time trade matching, clearing, risk management and netting for trades in US Government debt issues, including repurchase agreements or repos
- The Mortgage-Backed Securities Division (MBSD) of the Fixed Income Clearing Corporation (FICC) is the sole provider of automated post-trade comparison, netting, electronic pool notification, pool comparison, pool netting and pool settlement services to the mortgage-backed securities market
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