Investment Risk Consultant
1 week ago
Pay Range: $60hr - $65hr
Responsibilities:
- ssist the efforts to implement, develop, and enhance ERM's analytical capabilities related to credit/market risk across a wide range of fixed income asset classes, derivatives, and equity.
- Data investigation/cleanup. Support projects in building processes which are not always quantitative which will support the quantitative frameworks.
- Building on company's current approach, assist in developing and syndicating a comprehensive framework for measuring portfolio credit & market risk, that considers different accounting and capital regimes, including asset and liability impacts, with a particular emphasis on economic capital.
- Build meaningful reports by asset class and comprehensive level, collaborating with the quant development and IT/engineering teams.
- Use of Python/ SQL. Also, use of spreadsheets and VBA to do prototyping and analyze data.
- Expand the use of Moody's credit risk tools in place at Client today.
- Candidate will scope and implement modeling, including building out requirements where not yet fully defined or understood.
- Candidate will be agile, accountable, and resilient in driving results.
- Minimum 5 years of relevant work experience in investment (credit/market) quantitative risk analytics REQUIRED.
- Experience in quantitative risk modeling, analysis and the business applications across a wide range of asset classes, preferably structured finance, other fixed income equity and derivatives required.
- Moderate level skills in Python and SQL required.
- Detailed oriented and work to find solutions in highly collaborative environment
- Desire to use your quantitative and programming skills in a hands-on setting to deliver new functionality.
- 5-7 or plus years of relevant work experience is desirable.
- Bachelor's degree or a Master's degree in Computer Science, Financial Engineering, Mathematics, Physics, engineering, or similar quantitative discipline is preferred.
- Quantitative model development & implementation skills and ability to validate analytical results required.
- Knowledge and experience working with derivatives and hedging risk management.
- Experience in using Moody's Analytics credit risk tools is desirable.
- Previous experience working on liability driven investing projects within an insurance company is desirable.
- Experience applying machine learning techniques in the financial industry is desirable.
- Bachelors degree required.
- Master's degree in Computer Science, Financial Engineering, Mathematics, Physics, Engineering, or similar quantitative discipline is preferred.
- Graduate degree in a quantitative discipline preferred.
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