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Genesis Global Trading, Inc. | New York, NY, United States |
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Genesis Global Trading, Inc.
Join Talent Pool NY New York City, New York, United States
This job is closed
About This Role: VP, Risk Quant
We are looking for a risk quant to develop and maintain models and tools, with exposure in Market as well as Counterparty Credit risk.
Responsibilities & Requirements
- Familiarity with risk management framework for various quantitative measure of risk.
- Responsible for calculating PFE/EPE/IM for derivatives portfolio in Crypto
- Excellent counterparty credit risk methodologies and derivative product knowledge.
- Proven understanding of Monte Carlo exposure models, Credit and Market risk concepts, pricing and risk measures.
- Familiarity with relevant risk concepts and related valuation concepts (e.g. VaR, stress-testing, counterparty exposure estimation, liquidity estimation)
- Technical knowledge of models, forward and spot interest rate/credit curve interpolation/extrapolation
- Programming knowledge is essential.
- Ability to work independently
- Great attention to detail.
- Strong analytical skills;
- Crypto exposure desirable.
- 3+ years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector
- Masters or Doctorate degree in a technical area such as Financial Engineering, Computational Finance, Mathematical Finance, Mathematics, Statistics, Computer Science, Physics or related fields