in Cook - Chicago, IL
Job Description
Master’s degree in Quantitative Finance, Finance or related field and 5 years of related experience required. Prior experience must include any amount of experience with each of the following: performing Exotic Derivatives programming using C++, AML Tuning in Python, Market Risk Research, Fixed Income Analysis and Model Validation for CCAR; building mortgage rate forecasting models in SAS; building credit risk models and automating the models in Python.
Job Duties: Lead the design process and modeling development to implement new initiatives or keep up with market trend; develop and coach Risk Analysts to build team knowledge base and perform higher level analysis; serve as subject matter expert on market risk and provide oversight and recommend best practices to senior management; set up modeling assumptions in risk management system to support Bank business; perform benchmarking and back-testing for the modeling choices in the system; analyze, monitor and create reports used to measure market risk; test and evaluate risk models, data feeds, and reports used in making critical judgments on financial activities/transactions. Can work from home 3 days per week. Must live within commuting distance of office.
