Senior Analyst (PCK333-210078) New York, New York
We are seeking a Senior Analyst to join Chartis Global Services, Inc. in New York, New York.
The Senior Analyst will:
- Participate in the development of a risk/capital quantification method and process for complex asset and liability exposures.
- Refine and validate scenario, valuation, and risk integration methodology and related implementation.
- Apply quantitative methods to support capital model development efforts and monitor, develop, and analyze risk quantification methods and processes related to large invested asset books, including market and credit impairment risk for various fixed income instruments, such as structured products.
- Collaborate with members of other model and analytics groups to develop pricing and scenario methodologies for financial market-related risks.
- Assist with the development of an integrated model of production quality containing all sources of risks to recognize dependencies and systemic risks related to investment products.
- Validate and document model development to meet both internal and external quality control standards.
- Perform quantitative analyses of model outputs for a variety of applications.
- Work with Monte Carlo simulations, probability theory, optimization techniques, SQL, VBA, and Matlab.
- Master’s degree in Engineering (any), Operations Research, or a related field of study plus 8 years of experience in a related occupation.
- The full term of experience must include experience with Monte Carlo simulations, probability theory, risk analysis of illiquid and/or structured products, risk modeling of investment products, SQL, and VBA.