Quantitative Finance Analyst Job Description
Quantitative finance analyst
provides financial modeling expertise and support to other market risk modeling areas as needed.
Quantitative Finance Analyst Duties & Responsibilities
To write an effective quantitative finance analyst job description, begin by listing detailed duties, responsibilities and expectations. We have included quantitative finance analyst job description templates that you can modify and use.
Sample responsibilities for this position include:
Start-to-finish development of credit loss forecasting models in R (or Python) for the purposes of capital stress testing
Test and monitor model performance through backtesting and other model diagnostics
Provide feedback to developers through model reviews prior to independent validationQualifications
Validate CVA models developed by Front Office Quants and CCR models developed by Counterparty Credit Analytics Group
Perform analysis of portfolio stress results based on the portfolio composition and underlying shocks, trend analysis
Develop a broad understanding of the portfolio and review stress results to identify areas of excessive risk in the portfolio
Broad exposure to pricing and calibration models, risk and capital models for a variety of financial products/derivatives
Development of quantitative and programming skills product and market knowledge
Design hypothetical stress scenarios and assess historical stress scenarios for portfolio based on concentration analysis
Perform analysis of stress results based on the portfolio composition and underlying shocks
Quantitative Finance Analyst Qualifications
Qualifications for a job description may include education, certification, and experience.
Education for Quantitative Finance Analyst
Typically a job would require a certain level of education.
Employers hiring for the quantitative finance analyst job most commonly would prefer for their future employee to have a relevant degree such as Master's and Bachelor's Degree in Statistics, Mathematics, Finance, Economics, Physics, Engineering, Graduate, Computer Science, Math, Quantitative Finance
Skills for Quantitative Finance Analyst
Desired skills for quantitative finance analyst include:
Model performance measures
Financial instruments and financial risk management principles
Banking products and services
Optimization
Statistical sampling
Machine learning and artificial intelligence techniques
Predictive modeling
Matlab
Financial risk modeling
R
Desired experience for quantitative finance analyst includes:
Initiative - Possesses the intrinsic motivation and willingness to push ahead toward achieving a desired goal or end-state without suggestion or prompting by others
Resourceful - Systematically acquires relevant information to support key decisions
Organization / Time Management - Maintains an organized approach to managing daily activities
A quantitative PhD from a top school along with a quantitative related thesis
Years of quantitative financial experience in model development or model validation for one of the asset classes (Equities, Mortgages, Rates/Currencies)
Strong quantitative background with MS degree in Statistics, Economics, Finance, Mathematics, Computational Finance, or related field
Quantitative Finance Analyst Examples
1
Quantitative Finance Analyst Job Description
Job Description Example
Our growing company is searching for experienced candidates for the position of quantitative finance analyst. To join our growing team, please review the list of responsibilities and qualifications.
Responsibilities for quantitative finance analyst
- Perform deep-dive counterparty analysis to determine key risk drivers
- Make recommendations for risk mitigation strategies to the stress testing manager and portfolio management executive
- Determine ways to optimize stress process and coordinate with technology partners on projects to improve the stress testing technology tools
- Modeling of possible consequences of the default of a GCM facing the CCP (required margin charges, contributions required to cover the close-out costs )
- Independent model testing including evaluation of mathematical soundness, developmental evidence, historical performance, statistical testing, back testing, model benchmarking, and appropriate sensitivity analyses
- Full documentation of the model development process, any associated testing performed, any and all modelling assumptions (particularly management assumptions), and relevant control and governance processes surrounding the model
- Respond to model scrutiny and inquiries from both internal and external validators federal regulators to ensure conceptual soundness, model accuracy, and robustness
- Team work is essential for the position
- Perform other ad-hoc data analysis including business intelligence on customer behaviors, general business support through data collection and processing
- Proactively identify opportunities for efficiencies and improvements to processes and controls
Qualifications for quantitative finance analyst
- Advanced desktop technology skills such as Excel and Powerpoint are required
- Strong knowledge of stochastic calculus, yield curve is essential
- Must have strong knowledge of Vanilla and exotic rates products
- Strong coding in C++ development experience is essential
- Good knowledge of general arbitrage theory and detailed knowledge of at least one asset class (Rates, FX, Credit, Equity or Commodities) is essential
- Must have experience in working in a CVA quantitative team
2
Quantitative Finance Analyst Job Description
Job Description Example
Our growing company is looking to fill the role of quantitative finance analyst. To join our growing team, please review the list of responsibilities and qualifications.
Responsibilities for quantitative finance analyst
- Maintain knowledge of changes in the regulatory environment to help the team manage the dynamism in the industry
- Conduct detailed analyses of operational loss data
- Responsible for reviewing model changes
- Provides analytical support on various model testing and monitoring initiatives
- Develop in-depth expertise of our existing investment portfolio risk measurement tools, and perform ad-hoc portfolio risk analysis
- Continue to enhance our portfolio risk framework, including scenario analysis, standalone sector risk analysis, and approach to assessing risk correlations
- Perform research and analysis to provide independent insights into areas of investment risk or opportunities
- Develop market surveillance and predictive analytics tools to monitor existing or emerging investment risks, creating effective dashboards for daily use
- Research, evaluate, and monitor third party systemic investment and macroeconomic risk frameworks, identifying existing or emerging considerations on a timely basis
- Continue to enhance current approaches to quantifying credit, market, and counterparty risks
Qualifications for quantitative finance analyst
- Graduate-level research experience / coursework in
- Ability to influence strategic direction, develop tactical plans
- Hands-on C++/C# development experience including design, implementation, debugging
- Understanding of object oriented concept, algorithm and data structure
- Proven ability to execute and deliver against tactical and strategic initiatives through personal contributions influence
- Intermediate SQL coding and troubleshooting skills advanced Excel spreadsheet construction and usage
3
Quantitative Finance Analyst Job Description
Job Description Example
Our innovative and growing company is hiring for a quantitative finance analyst. To join our growing team, please review the list of responsibilities and qualifications.
Responsibilities for quantitative finance analyst
- Develops, monitors and documents PPNR forecasting and stress testing models
- Supports modeling design, data acquisition, development, validation, implementation, monitoring and reporting
- Develops business and functional requirements for PPNR model development and execution
- Works within cross-functional teams (T&O, Finance, Risk, Capital, ) projects addressing data, process, model, analytics and policy gaps involving PPNR models
- Works with Capital Planning and Management, Regulatory Reporting, Strategic Planning to ensure consistency and reconciliation with relevant planning and reporting processes
- Develops analysis to support assessment and challenge of the forecasting approach/assumptions and delivers adequate information to support effective challenge at the board and management levels
- Supports robust internal controls for the PPNR forecasting process
- Produces and maintains robust documentation of all PPNR models, related processes and controls
- Supports implementation and integration of PPNR forecasting models, drivers and assumptions
- Contributes toward the Development/Shaping of strategies for modeling design, development, validation, implementation, monitoring and reporting
Qualifications for quantitative finance analyst
- Advanced degree level in relevant subject – Finance, Statistics, Mathematics, or Accounting
- Knowledge of Basel regulations with experience in credit and market risk requirements for traded products cash securities, repos, securities lending, and derivatives
- Comfort in programming languages (SQL, SAS)
- Advanced degree in a quantitative discipline (statistics, economics, mathematics, operations research, ), with a demonstrated mastery of advanced statistical, econometric and time series techniques
- Summarize insights and present key findings to senior management
- Develop predictive models that estimate probability of default (PD), loss given default (LGD), and exposure at default (EAD) for each business loan and consumer loan in the bank’s balance sheet
4
Quantitative Finance Analyst Job Description
Job Description Example
Our innovative and growing company is looking for a quantitative finance analyst. Please review the list of responsibilities and qualifications. While this is our ideal list, we will consider candidates that do not necessarily have all of the qualifications, but have sufficient experience and talent.
Responsibilities for quantitative finance analyst
- Analyze and summarize results of ongoing monitoring of model performance
- Understand and able to provide proactive diagnosis to the model input and output
- Evaluates and Analyzes processes and program procedures to identify issues and opportunities
- Be able to work independently on projects with strict deadlines
- Interface with a wide audience including peers, senior management, Model Risk Management, model developers, model implementation group, Forecast Administrators, Risk Technology, project managers, Lines of Business
- Writing thorough technical reports for distribution and presentation to senior management, model developers, and audit and bank regulators
- Conduct production execution of Servicing Operations for each Enterprise Stress Testing (EST) and Comprehensive Capital Analysis and Review (CCAR) cycle
- Perform business controls and checks during the execution process
- Review and articulate model execution results to internal team and stakeholders
- Interact with model development team to provide testing for proposed model adjustments and overlays
Qualifications for quantitative finance analyst
- Perform regression diagnostics such as stationarity, residual correlation, heteroskedasticity, normality of residuals, multi-collinearity, highly influential observations, overfitting
- Translate business problems into statistical problems, and develop statistical models to support business needs, such as pricing policy, cross-sell targeting, credit risk modeling, portfolio risk modeling, scorecards
- Extract credit and retail banking transaction data, conduct exploratory data analysis, and address common data issues like missing and extreme values
- Degree in analytics, computer science, statistics, engineering, applied mathematics, economics, finance or a related field
- Minimum 2+ years of relevant corporate work experience working on computer programming, analytics, or quantitative modeling
- Banking experience is a plus but a candidate who can clearly articulate the transferability of out-of-industry skills will be considered
5
Quantitative Finance Analyst Job Description
Job Description Example
Our company is looking for a quantitative finance analyst. To join our growing team, please review the list of responsibilities and qualifications.
Responsibilities for quantitative finance analyst
- Understand the key documentation requirements being driven by model validators and regulators
- Developing, testing and documenting algorithms to price corporate bonds and CDS Index
- Enhancing existing infrastructure and algorithmic market making and hedging algorithms
- Performing all model validation tasks including but not limited to independent model validation, annual model review, ongoing monitoring report review, required action item review, and peer review
- Conducting all administrative and governance activities such as model identification, model approval, breach actions, extension assessments, and system of records, to manage model risk
- Providing hands-on leadership for projects pertaining to machine learning approaches
- Communicating and working directly with relevant modeling teams and their corresponding Front Line Units
- Work with business data users to define the use of data within various risk systems
- Partner with other senior members of the Structured Finance team to understand the analytical and reporting needs of their individual teams
- Enhance the consistency, robustness, and governance around the multiple modeling efforts that the Structured Finance team manages
Qualifications for quantitative finance analyst
- Experience in credit loss modeling for business loans and installment loans is a plus
- Graduate degree in Economics, Statistics, Financial Engineering, Operation Research, Computer or Data Science or a related field
- UX / UI user interface design experience a plus
- Programming experience using SAS and Matlab
- Model integration
- Master’s Degree or PhD in a numerical discipline