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CIB Risk- Market Risk Model Delivery - Associate

Req #: 170125068
Location: New York, NY, US
Job Category: Accounting/Finance/Audit/Risk
Job Description:
This is an Analytics development position within the Market Risk Model Delivery group with a focus on Market Risk Capital modeling, and other related Capital and Risk analytics (e.g. derivative Greeks, portfolio structure analysis, etc). The role affords the new team member opportunities to gain cross-asset experience in a wide range of business areas and its product and models, while contributing to the model development for business specific as well as bank-wide models.
Core Responsibilities:
  • Work on the implementation of the next generation of Market Risk analytics platform.
  • Integration of pricing models.
  • Work on analytics delivery for Market Risk calculations.
  • Improvement of performance and scalability of analytics algorithms.

 

  • Qualifications:
    • Good interpersonal and communication skills, ability to work in a group
    • Graduate degree in a technical field, such as Math, CS, Physics, or Engineering.
    • Expertise in C and/or Python, including experience with numpy, scipy and/or pandas
    • Expertise in data structures, standard algorithms and OO design.
    • Strong software design skills and implementation skills
    • Strong analytical and problem solving abilities.
    • Probability theory, financial math or stochastic calculus is a plus
    • Development using multi threading, GPU, MPI, grid, or other HPC technologies is a plus
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