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Senior Quantitative Analyst

📁
Risk Management
📅
19000801 Requisition #
Job Purpose

The incumbent will work as part of the ICE quantitative research team to provide risk model analytics and quantitative risk management solutions to the 1st line Clearing Risk Department as well as other business lines in ICE. The role will be working with all assets classes from financial derivatives to credit default swaps (CDS) as well as equities & commodities. The successful candidate will engage with various groups in the organization from product control to front line risk teams and sales teams.

Responsibilities
  • Research, develop and Implement the risk management models for the Clearing Business
  • Work with the risk managers to provide the quantitative supports and analytical tools to investigate and understand the markets risks, liquidity risks, counterpart credit risks and stress scenarios risks
  • Model review, documentation and validation remediation to ensure compliance with the Model Risk Governance Framework (MRGF)
  • Reviewing and interpreting the results of on-going model performance tests (e.g. back testing)
  • Develop and implement new diffusion models and pricing functions
  • Participate in the code infrastructure of the Q group
  • Work and coordinate with the Model Validator to meet the scopes of the validation/re-validation review process
  • Preparing analyses for regulatory submissions of model changes and introduction of new models
Knowledge and Experience
  • PhD or MSc in Physics, Mathematics, Quantitative Finance, Statistics, or a relevant scientific field or relevant work experience
  • Strong mathematical knowledge of financial derivatives pricing and risk management models
  • Good data science experience
  • Programming in Python, SQL or C++/C# skills
  • Solid numerical programming abilities
  • Excellent attention to detail with ability to work independently and also as part of a team
  • Excellent problem solving, critical thinking, and communication skills
  • Excellent command of written and spoken English

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