Sunday, August 5, 2012

Quantitative Analyst

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The qualified candidate will join a team of analysts in the Model Governance (MG) group and will be responsible for the independent review and validation of all Mathematical/Statistical models used by the Global Wealth & Investment Management (GWIM) group. The MG group ensures that all models reflect best modeling practices and comply with Model Governance Policy and OCC requirements.

The qualified candidate will work cross-functionally to enforce current model risk control procedures and apply his experience and skills to subject the models used by the GWIM group to effective challenge.

The qualified candidate will join a group of highly skilled and experienced professionals bound by a strong commitment to high-quality work in a very collegial atmosphere.

Key words: APT model, Asset allocation, Black-Litterman model, CAPM, Cash flow modeling, Derivatives pricing, High-dimensional problems, Monte Carlo simulation, Portfolio optimization, Stochastic processes, Value-at-Risk (VaR). 

Key requirements:
• Strong and diversified quantitative skills
• Working knowledge of the main asset classes available on the market (equities, fixed-income securities, options)
• Working knowledge of derivative financial instruments and the numerical methods used to price them
• Working knowledge of stochastic processes and stochastic calculus/integration
• Working knowledge of optimization techniques, regression techniques and Monte Carlo simulation
• Hands-on experience in the design, implementation and testing of financial/pricing models
• Ability to understand and communicate clearly and effectively at all levels
• Ability to learn and adapt in an unexplored field, if necessary
• Team player attitude


Required Skills:
1. 5+ years of relevant hands-on modeling / testing experience
2. Masters/Ph.D.-level degree in Quantitative Finance
3. Strong programming skills in VBA, Matlab, C++/C#/Java and SAS
4. Technical curiosity and interest in learning new skills

Mayank Nagpal
DATA Inc
72 Summit Avenue
Montvale, NJ 07645
            201.802.9800       ext 234
201.802.4983 fax

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Winner - 2006 InfoWorld 100 Award
Winner - 2005 Merrill Lynch Vendor of the Year Award
Data Incorporated
72 Summitt Ave
Montvale, NJ 07645
Phone:             (201) 802-9800      


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