Summary

Formulate and apply modeling and other optimizing methods to develop and interpret information to improve the market and counterparty risk for the automated market making and trading business. 

1. Responsible for implementing and testing new models. 
2. Collaborate with analytics team to develop and improve models for pricing, VaR, and stress testing. 
3. Support pricing and risk management analytics, working closely with Risk, Trading, and Technology. 
4. Deliver consistently on the full cycle of model development, implementation, validation, analysis, and model confirmation. 
5. Support the development and implementation quantitative models with emphasis on risk management, reporting controls and transparency. 
6. Enhance governance and controls by maintaining data pipeline to source and save live/historical data from different sources (exchanges and data platforms. 
7. Build risk models, hedging tools and perp trading strategies on top of an in-house grouping methodology. 
8. Collaborate with quant traders, developers and risk team. 
9. Contribute to analyses required by internal and external stakeholders.

Qualifications: 

Master’s degree in a quantitative discipline such as Financial Engineering, Applied Mathematics, Statistics, Physics, Computer Science, foreign equivalent or closely related field.

One (1) year of experience in job offered, Model Validation Analyst or closely related trading/risk environment.

Required skills: 

Position requires one (1) year of experience in:

1. End-to-end validations;
2. Regulatory market risk and xVA counterparty risk models;
3. Model validation methodology;
4. Risk reporting report in power BI;
5. Market risk and liquidity risk models;
6. Quantitative and qualitive analytical tools;
7. Python (Pandas, NumPy), C++, and MySqL programming; and
8. CVA VAR.

Skills

• Analytical Thinking
• C++
• Communications Skills
• Development
• Risk Analysis
• Software Engineering
• SQL
• Team Collaboration