job position:PhD Quantitative Analyst for Derivatives

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Company:  Executive Search Consultants INC.   
Location:   USA-NY-New York City   
Compensation:   Base/Bonus $$$$   
Years Experience:   3-5 yrs   
Position Type:   Employee   
Employment type:   Full time   
Updated:   19 Apr 2008   
eFC Ref no:   404090   
   
   

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Premiere Investment Bank seeks a top PhD w/ a diverse derivatives background. To join their Credit Risk Management/ Analytics and Advisory Dept  

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The group is responsible for developing quantitative pricing and risk management models for credit risk, hedge fund risk, and operational risk. Credit risk projects include development of pricing and simulation models for interest rate, equities, commodities, FX, and credit derivatives. Credit risk projects also will focus on capital simulation models, econometric prediction of default and loss given default, hedging of derivative credit risk, and the risk-return tradeoff in a credit risky portfolio of assets. Hedge fund risk management projects involve the development of methodologies to measure strategy-specific risk and will require interaction with hedge fund clients. Operational risk projects involve development of capital models and methodology to estimate model parameters, such as Bayesian statistics. Candidates should have a masters or Ph.D in a quantitative subject as well as have knowledge of derivative pricing and financial economics. Since RAG develops prototypes of models as well as assists the IT group in developing and testing production models, substantial programming experience in C++, C#, or Java will be required as well. The positions entail working with various groups such as the credit department, risk managers, external clients, desk strategists and traders, and the IT group. As a consequence, communication skills and teamwork are important attributes for successful candidates.
E-mail resume in MS Word format DIRECTLY to: deborah_kolb@........