Senior Quant Analyst

Careers at Bloomberg

New York

Posted Oct 17, 2017 - Requisition No. 62798

Bloomberg's Multi-Asset Risk System (MARS) is a comprehensive suite of risk management tools that delivers consistent, consolidated results for each client's entire firm. The Bloomberg Quantitative Risk Analytics group is responsible for all quantitative components of MARS, including regulatory capital calculations, CCAR scenarios, FRTB, SIMM and IFRS9 support, VaR, stressed VaR, ES, predictive stress, exposure calculations (PFE, EPE, etc), and credit modeling.

As a member of the Quantitative Risk Analytics team you will work on developing Bloomberg's default risk and portfolio credit risk models. These models are used by clients for credit risk analysis, Basel regulatory capital calculations and supporting IFRS9 regulations. You will be responsible for validating data, researching and prototyping models, documenting models, and interacting with internal and external clients.

We’ll expect you to:

  • Research, design, prototype, document and support statistical/econometric credit risk models, including probability of default (PD), loss given default (LGD), exposure at default (EAD), and portfolio loss calculations
  • Communicate modeling concepts and model assumptions with clients and independent development teams

You’ll need to have:

  • Ph.D. in a technical discipline (mathematics, physics, finance, economics, statistics or a related area)
  • 5-10 years of experience in credit risk modeling
  • Demonstrated understanding of the statistical and theoretical issues surrounding the joint measurement and estimation of default and recovery rates.
  • Proven record of designing, estimating and implementing risk-related statistical models, especially default risk models
  • Strong understanding of market-relevant measures of risk and, in particular, credit risk modeling.
  • Expertise in stochastic processes and statistics
  • Familiarity with Basel and IFRS9 regulations
  • Familiarity with modelling techniques including logistic regression, multivariate analysis, and Monte Carlo analysis
  • Strong team-player comfortable in a multi-developer environment with a facility for interacting with quants, IT groups and product managers.
  • Good oral and written communication skills.

If this sounds like you: Apply if you think we're a good match. We'll get in touch to let you know what the next steps are, but in the meantime feel free to have a look at this: http://www.bloomberg.com/professional

We are an equal opportunity employer and value diversity at our company. We do not discriminate on the basis of race, religion, color, national origin, gender, sexual orientation, age, marital status, veteran status, or disability status.

Similar jobs