Posted Dec 22, 2011 - Requisition No. 32067
Strategic Risk Research is responsible for Bloomberg¿s research and development effort for cutting edge risk models. Current projects include the implementation of counterparty risk models for the Enterprise Risk system. Other projects involve the use of fat tailed distributions in risk models, developing regime switching models, formulating early warning crisis detection models, and implementing robust risk measures for stressed markets.
Senior SRR quantitative analysts will be hands-on researchers in the build out of our new risk models. This senior member will manage and lead the development and implementation of a counterparty risk model. This model will eventually form part of the Enterprise Risk System.
Additional duties may include speaking at Bloomberg client seminars and other conferences to promote our research and writing articles on risk methodology for various internal publications.
The ideal candidate will have at least 10 years of experience in quantitative finance including the development counterparty risk models and an exceptionally strong mathematics / statistics background. In addition to quantitative skills the candidate should have a good knowledge of ISDA agreements and counterparty risk regulations. Other qualifications include:
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