Description

Research and prototype risk models for newly issued ETFs, extending Hybrid VaR scope to benchmark existing methodologies.

This role is on-site.

Responsibilities

• Research and prototype risk models for newly issued ETFs.
• Extend Hybrid VaR scope to serve as a benchmark for existing VaR methodology.
• Assist with the NSCC MTM passthrough effort.
• Facilitate model specification and communicate requirements to Market Risk and Risk Technology stakeholders.

Required Skills

• 5+ years of experience in financial market risk management.
• Hands-on experience developing complex financial models.
• Deep knowledge of equity production, specifically ETFs.
• Proficiency in SQL.
• Master's degree in a quantitative discipline.

Preferred Skills

• Experience with Python, Matlab, or R.

Key Skills

Education

Master's degree