job position:Quantitative Analyst

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This is a position for a quantitative analyst for the Model Risk practice. A quantitative analyst designs, implements, and tests mathematical models for the pricing of derivatives and other complex financial instruments, assessment and hedging of risk, or predicting market movements.

This position will focus primarily on the testing and validation of models. Each client engagement would be supervised by experienced Protiviti management personnel and could involve:


Interacting with clients at the client site
Critical review of the client’s policies on model validation, documentation, testing, and other governance issues
Reviewing documentation on the models to be validated
Interviewing clients to close gaps in documentation
Review data collection process
Review and test data cleansing process
Critical review and benchmarking of assumptions and approximations used
Review mathematical and statistical formulation of model
Testing, benchmarking, and/or replication of client model
Critical review of model usage and of integration into client business
Composing validation reports based on your findings

EDUCATIONAL & PROFESSIONAL CREDENTIALS:


Ph.D in Math, Physics, or Finance, or some other quantitative field preferred
PRM, FRM, CFA, or CQF certification preferred
At least one year Industry experience in Quantitative Finance, Credit Risk and/or Economic Capital

QUALIFICATIONS:


Current authorization to work in the United States on a full-time basis, not including practical training authorization.
Must work well in a team-oriented environment as well as independently
Must work creatively and analytically in a problem-solving environment
Demonstrated excellent leadership, communication and interpersonal skills
Must be able to handle highly confidential information in a strictly professional manner
Must be able to maintain professional demeanor in times of high stress
Must be able to demonstrate initiative and learn quickly
Willing and able to amicably resolve contentious issues with client
Healthy skepticism

REQUIRED TECHNICAL KNOWLEDGE & SKILLS:


Strong statistics and math abilities
Familiarity with stochastic differential equations and advanced statistical techniques
Strong programming skills preferred (C++, Mathematica, Matlab, S+, or other)
Ability to conduct research on technical literature
Strong written communication and report-writing skills