Market Risk Modeling Expert

Pittsburgh, PA 15222

Post Date: 01/19/2018 Job ID: 281131-0_1 Category: Credit Analytics Salary: Up to 180k
Smith Hanley Associates
Market Risk Modeling Expert
Pittsburgh, PA
Salary: Up to 180k base and bonus Eligible
Contact: Sean Murphy - [email protected]

The Market Risk Modeling Expert will conduct deep rooted analytics to provide clear and concise analytic insights for quant analysis and model validations. The Market Risk Modeling Expert is expected to perform complex assessments on quantitative models including theoretical aspects, model design and implementation as well as data quality and integrity. The incumbent will also be expected to develop of a new model framework, review the validation of existing models and assess all model risks. The Market Risk Modeling Expert will be expected to have deep rooted experience and knowledge of ALM, market risk models, PFE models, and derivatives pricing models.

Requirements for Market Risk Modeling Expert:

- Ph.D. in a quantitative discipline (i.e.- Mathematics, Statistics, Economics, Physics, Financial Engineering, etc)
- Ten (10) or more years of deep rooted hands on experience with numerical methods, derivatives pricing and stochastic calculus techniques
- Extremely strong understanding and in depth understanding of Market Risk Models, Derivatives pricing, PFE calculations and other market Risk areas
- Knowledge of stress testing, and back testing techniques as well as market risk sensitivities (Greeks, OAD, OAC, KRDs, KRCs)
- Strong proficiency with asset pricing theory, option pricing theory, term structure modeling, dual curve discounting, Monte Carlo simulations and volatility modeling
- Advanced skills with Excel/VBA, SAS, R, and MATLAB
- Strong English communication abilities both written and oral

Sean Murphy
Executive Recruiter

Sean's recruiting knowledge, human resources expertise and quantitative insight are now being leveraged to identify qualified candidates for specific credit roles. Sean considers his communications skills, his sense of urgency and initiative as critical strengths for building solid relationships in this tight knit industry.
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