CIB Risk-quantitative Research Resume Samples
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CIB Risk-quantitative Research Resume Samples
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JD
J Durgan
Jacklyn
Durgan
9220 Carlotta Key
Detroit
MI
+1 (555) 364 3134
9220 Carlotta Key
Detroit
MI
Phone
p
+1 (555) 364 3134
Experience
Experience
Dallas, TX
CIB Risk Quantitative Research
Dallas, TX
Runolfsdottir LLC
Dallas, TX
CIB Risk Quantitative Research
- Work closely with asset aligned quantitative research groups in order to onboard new products into the counterparty risk valuation framework
- Applications and model development for pricing and risk managing cross-asset and Rates index derivatives
- Liaise with technology teams in order to build out risk management systems and front end tools
- Designing and developing core analytics library for EMEA SPG products
- Development, deployment and support of algorithms for automated and semi-automated quoting and trading of corporate bonds in our in-house system, Athena
- Ensure clear documentation and testing of models and work closely with the model review group in order to facilitate model approvals
- Interact with the trading desk for systems and risk management support
Philadelphia, PA
Cib-risk-quantitative Research
Philadelphia, PA
Kreiger, King and Smitham
Philadelphia, PA
Cib-risk-quantitative Research
- Developing models for the pricing and risk management of credit derivatives, including investigating improvements to existing models
- Explaining model behaviour, carrying out scenario analyses, developing and delivering quantitative tools, and supporting analytics
- Develop Software frameworks for analytics
- Working with control groups on model reviews
- Developing mathematical pricing models for secured financing products, taking into account all the major risk factors
- Research, back-testing and reporting on quoting strategies and ongoing improvements to related infrastructure
- Explain model behavior and predictions to traders and controllers, identify major sources of risk in portfolios, carry out scenario analysis, provide guidance / debug analytics
present
Boston, MA
CIB Risk-quantitative Research
Boston, MA
Goodwin and Sons
present
Boston, MA
CIB Risk-quantitative Research
present
- Working in partnership with Front office and technology, to drive the development of new and strategic pricing and risk management framework
- Enhance our core analytic library framework to improve its flexibility and performance
- Develop further our pricing and risk management library
- Work with a senior quant in developing pricing models for complex repo transactions
- Designing and developing software frameworks for analytics and their delivery to systems and applications
- Designing and developing core analytics library for SPG products
- Working with model control teams to facilitate timely and efficient review and approval of models
Education
Education
Bachelor’s Degree in Math
Bachelor’s Degree in Math
Kaplan University
Bachelor’s Degree in Math
Skills
Skills
- Good knowledge of options pricing theory, stochastic processes and probability theory
- Good communication and able to work in a team-oriented environment
- A healthy interest in good software design principles
- Good communication skills, both oral and written
- Strong software development and C++ skills
- Strong analytical and problem solving abilities
- Excellence in probability theory, stochastic processes, partial differential equations, and numerical analysis
- Python; knowledge of financial products
- Derivatives: excellent knowledge of pricing and risk management theory (Black & Scholes…), vanilla options and volatility products (variance swaps, VIX futures and options, stochastic volatility models …)
- Proficient working in a Linux/UNIX environment
15 CIB Risk-quantitative Research resume templates
Read our complete resume writing guides
1
CIB Risk-quantitative Research Market Risk Capital Resume Examples & Samples
- Develop the risk engines for Basel 2.5 Market Risk RWA models [VaR-based Measure (VBM), Specific Risk (SR), Incremental Risk Charge (IRC), and Comprehensive Risk Measure (CRM)]. This includes working on model specification, calibration, testing, documentation, and ongoing benchmarking and performance monitoring
- Act as a technical expert in modeling discussions and presentations, including internal meetings and on-site regulatory exams of market risk RWA models with the FRB, OCC, and PRA
- Experience in developing models for Regulatory Market Risk Capital (in particular, IRC and CRM, but VaR is also relevant) or Front Office models for credit trading
- Experience in presenting technical matters to trading and model validation personnel. Ideally this experience will be related to trading book capital (VaR, IRC, CRM)
- PhD in Applied Math, Physics, Economics (quantitative), Engineering or similar
- Risk & Control mindset
- Teamwork oriented
2
CIB Risk Quantitative Research Credit Associate Resume Examples & Samples
- Development of models and procedures for pricing, risk, and PL of derivatives and securities
- Analysis of hedging strategies
- Integration of pricing, risk, and PL functionality in our risk system, Athena
- Communicating with Model Review Groups in order to make models pass strict in-house standards
- Very strong mathematical and financial modelling skills
- Strong interest in programming and design. Ideally some experience with coding in C++. In addition, experience with Python would also be a plus
3
CIB Risk-quantitative Research Resume Examples & Samples
- Derivatives: excellent knowledge of pricing and risk management theory (Black & Scholes…), vanilla options and volatility products (variance swaps, VIX futures and options, stochastic volatility models …)
- Statistical modelling & optimization: standard techniques, machine learning. Linear, convex & conic optimization…
- Strong coding background: ability to work with large amounts of data and comfortable with technology, proficient in Python and relevant quantitative packages (numpy, pandas, scikit…), good knowledge of C++
4
CIB Risk-quantitative Research Market Risk Capital Resume Examples & Samples
- Develop risk engines for the Internal Models Approach (IMA) of the new Market Risk Capital Rules (Fundamental Review of Trading Book---FRTB). This includes interpretation of regulatory guidance on IMA, model specification, developing data requirements, data sourcing, calibration, testing, documentation, and ongoing benchmarking and performance monitoring
- Act as QR MRC’s liaison for FRTB and coordinate with market risk management on development of plans, timelines and deliverables
- Manage a junior staff who will assist with execution of above-mentioned responsibilities
5
CIB Risk-quantitative Research Capital Model Developer Resume Examples & Samples
- Strong programming skills (one or more languages among Python, C++, R, etc)
- Quantitative modeling experience
- Ability to work on details
6
CIB Risk Quantitative Research Resume Examples & Samples
- Statistical analysis of market movements
- Strong OO designs skills is required, most likely obtained using C++. In addition, Python would also be a plus as would experience with reactive programming
- Ability to work in a high-pressure environment
7
CIB Risk Quantitative Research Resume Examples & Samples
- Applications and model development for pricing and risk managing cross-asset and Rates index derivatives
- Maintenance of existing pricing and calibration tools
- Interact with the trading desk for systems and risk management support
- Knowledge of financial derivatives, preferably in Rates
- Strong Python or C++ software development with emphasis on numerical methods
- Quantitative Research experience in other asset classes
- Affinity with object oriented design and software development
8
CIB Risk Quantitative Research Resume Examples & Samples
- Applications and model development for pricing and risk managing commodity derivatives and tradable indices
- Support differential discounting analytics
- Knowledge of financial derivatives, preferably in Commodities or Rates
9
CIB Risk Quantitative Research Resume Examples & Samples
- Designing and developing core analytics library for EMEA SPG products
- Ensuring analytical consistency with other products supported in QR quantitative libraries
- Supporting trading activities by explaining model and algorithm behavior, carrying out scenario analyses, developing and delivering quantitative tools, and supporting analytics
- Experience working in a front office quant role supporting the sales and trading business
- Solid understanding of the general structured product models, hence can select the most meaningful risk factors in model development for products that do not have rich data
- Deep understanding of risk measures for structured products, and can make good judgment in applying new risk measures for risk limit and VaR usage
- Strong software design and development skills using C++ and Python
- Knowledge in the securitized products (RMBS/CMBS/ABS) market, especially exposure to the EMEA market a plus but not necessary
10
CIB Risk Quantitative Research Resume Examples & Samples
- Design and implement new cutting-edge, cross-asset, counterparty risk simulation models as well as enhance the existing library
- Work closely with asset aligned quantitative research groups in order to onboard new products into the counterparty risk valuation framework
- Liaise with technology teams in order to build out risk management systems and front end tools
- Support the trading team and risk organisation in pricing and risk managing credit risk
- MS degree in Math, Math Finance, Physics, Computer Science, Engineering or similar
- Deep understanding of probability theory, stochastic processes, PDEs, and numerical methods
11
CIB Risk-quantitative Research Market Risk Model Delivery Resume Examples & Samples
- Work on the implementation of the next generation of Market Risk analytics platform
- Good interpersonal and communication skills, ability to work in a group
- Expertise in data structures, standard algorithms and OO design
- Strong software design skills and implementation skills
- Probability theory, financial math or stochastic calculus is a plus
12
Cib-risk-quantitative Research Resume Examples & Samples
- Model development for pricing and risk managing commodity derivatives and cross-asset tradable indices
- Interacting with the Trading desk for systems and risk management support
- Working with control groups on model reviews
- Interacting with Sales and Structuring on new product
- Knowledge of financial derivatives, preferably in commodities
- Knowledge of tradable indices
- Experience in a front office trading environment
- Experience in model review and understanding of model risk
13
CIB Risk-quantitative Research Resume Examples & Samples
- Enhance models in our C++ quant library and integrate in our risk system
- Document and test new/existing models with traders and with other various control groups, such as the Model Review Group
- Work closely with technology on the Integration and migration of pricing, risk, and p&l functionality in our risk system, Athena
- Ongoing desk support
- Good knowledge of options pricing theory, stochastic processes and probability theory
- A healthy interest in good software design principles
14
Cib-risk-quantitative Research Resume Examples & Samples
- Develop mathematical models for pricing, hedging and risk measurement of derivatives
- Develop Software frameworks for analytics
- Design efficient numerical algorithms and implement high performance computing
- Produce high quality model documentation and ongoing testing in accordance with regulatory standards
15
CIB Risk Quantitative Research Resume Examples & Samples
- Outstanding academic record with a PhD or Masters Degree in a quantitative discipline from a top-tier institution
- At least five years of relevant desk quant experience in Equity Derivatives or related asset classes
- A thorough understanding of equity derivatives pricing theory and standard models
- Excellent analytical and problem-solving abilities
- Professional C++/Python development experience desirable
16
CIB Risk-quantitative Research Resume Examples & Samples
- Working in partnership with Front office and technology, to drive the development of new and strategic pricing and risk management framework
- Develop further our pricing and risk management library
- Rapid prototyping of tools
- Python, C++ coding with emphasis on numerical methods
- Excellent communication and software development skills
- Masters/PhD or equivalent degree in Computer Science, Mathematics, Physics or Engineering
- Strong maths
- Equity derivative modelling, probability theory, stochastic processes, partial differential equations and numerical analysis
17
CIB Risk Quantitative Research Equity Options Market Making Associate Resume Examples & Samples
- Supporting the existing warrants and CBBS business
- Developing option market making algorithms
- Enhancing in-house parametric volatility models and volatility fitting techniques
- Leveraging trading signals to optimize derivatives portfolio risk management
- Regional support for our portfolio analytics tools
- A PhD or Master’s Degree in a quantitative discipline from a top-tier institution
- Excellent knowledge of derivatives pricing and risk management theory, vanilla options and volatility products
- Experience with volatility fitting and market making techniques
- Good expertise in statistical modelling & optimization, including standard techniques, linear, convex & conic optimization
- A strong coding background with proficiency in C++, Python and relevant quantitative packages (numpy, pandas)
- Strong problem-solving abilities and communication skills
- Knowledge of standard factor models such as Barra is a plus
18
CIB Risk-quantitative Research Resume Examples & Samples
- Evaluating and documenting quantitative methodologies, back-testing and simulating quantitative models for example, Electronic Trading Algorithms, Index Arbitrage, Statistical Arbitrage and Market Making, etc
- Writing model documentation compliant with internal and regulatory standards
- Supporting trading activities by explaining model and algorithm behavior, carrying out scenario analyses, developing and delivering quantitative tools, and supporting analytics including transaction cost analysis
- Previous experience in model review and validation
- PhD or Master’s Degree in a quantitative discipline from a top-tier institution
- At least five years of relevant quant experience in systematic quantitative trading in Equity or related asset classes
- A thorough understanding of algorithmic trading / market making and standard models
- Mastered advanced mathematics and statistics (i.e., probability theory, time series, econometrics, optimization)
- Strong coding skills
- Professional Java/Python, and q/Kdb development experience desirable
19
Cib-risk-quantitative Research Resume Examples & Samples
- Developing mathematical pricing models for secured financing products, taking into account all the major risk factors
- Integrating models into risk system, building out risk and PNL report for secured financing products
- Evaluating and documenting quantitative methodologies, back-testing and simulating quantitative models
- Supporting business activities by explaining model behavior, carrying out scenario analyses, developing and delivering quantitative tools, and supporting analytics
- An advanced degree in math, statistics, physics, financial engineering, computer science or other quantitative fields
- Knowledge of fixed income markets, in particular credit market (loans/bonds/CLOs), is a plus, but is not a strict requirement
20
Cib-risk-quantitative Research Resume Examples & Samples
- Ongoing support of the credit flow desk
- Strong OO design skills are required, most likely obtained using C++. In addition, Python would also be a plus, as would experience with reactive programming
- Very strong statistical and probabilistic skills, especially statistical filtering and optimal control
21
Cib-risk-quantitative Research Resume Examples & Samples
- Working with model control teams to facilitate timely and efficient review and approval of models
- Explaining model behaviour, carrying out scenario analyses, developing and delivering quantitative tools, and supporting analytics
- Knowledge of fixed income markets, in particular credit products and models, is a plus, but is not a strict requirement
22
CIB Risk-quantitative Research Resume Examples & Samples
- Designing and developing core analytics library for SPG products
- Earned a PhD or Master’s degree in math, statistics, physics, financial engineering, computer science or other quantitative fields
- Knowledge of bond markets, in particular securitized products (RMBS/CMBS/ABS) market, is a plus, but is not a strict requirement
23
CIB Risk Quantitative Research Rates & Hybrids Models Associate Resume Examples & Samples
- Develop models and implement them in C++ for pricing and risk managing derivatives
- Rapid prototyping of models and products; benchmark and compare results of various techniques
- Masters or equivalent degree in Mathematics, Mathematical Finance, Physics or Engineering
- Python; knowledge of financial products
24
CIB Risk-quantitative Research Resume Examples & Samples
- Partner with Model developers to understand, implement and onboard pricing and forecasting models onto our platform
- Enhance our core analytic library framework to improve its flexibility and performance
- Research and implement innovative approaches to improving the performance of our analytics libraries by enhancing algorithms, parallelizing, employing GPUs, etc
- Work with our Technology and Business partners to support the end to end delivery of analytics to the firms Risk systems
- Ensure that the modeling code, parameters are released in a controlled fashion with proper test coverage
- Exceptional Python development skills; C++ a plus
- Experience with and knowledge of Pandas, numpy, scipy, etc
- Exceptional object-oriented design skills
- Good communication and able to work in a team-oriented environment
- Must be self-motivated, pro-active, responsible and driven to deliver
- Graduate degree in either computer science or a numerate subject (e.g. engineering, sciences, computing or mathematics)
- Experience with model development and quantitative programming
- Experience with improving performance of Python applications and parallel computing
- Experience with performance profiling, code coverage and unit testing
- Experience with Finance, Regulatory Capital and CCAR a plus
- Experience with subversion, automated build/test systems and release processes
- Experience developing software on Linux/Unix
25
CIB Risk Quantitative Research Market Risk Model Delivery Associate Resume Examples & Samples
- Integration of pricing models
- Work on analytics delivery for Market Risk calculations
- Improvement of performance and scalability of analytics algorithms
- Expertise in C++ and/or Python, including experience with numpy, scipy and/or pandas
- Development using multi threading, GPU, MPI, grid, or other HPC technologies is a plus
26
CIB Risk Quantitative Research Market Risk Model Development Resume Examples & Samples
- Developing VaR models for products in the credit, public finance and counterpart risk (CVA) areas. The responsibilities for VaR model development will include VaR methodologies development, time series selection/data quality checks, implementation, VaR model performance analysis, testing and documentation, etc
- Working with model review groups for the questions/issues during the model review
- BAU supporting for the VaR end users such as market risk management teams
- Good communication and writing skills, ability to work in a group
- Graduate degree in a technical field, such as Math, CS, Physics, or Engineering
- Expertise in C++ and/or Python
27
CIB Risk Quantitative Research Investor Services VP Resume Examples & Samples
- Enhance pricing of client transactions in Prime Brokerage
- Analyse risk in Prime Brokerage portfolios
- Excellent Math background
- Knowledge of Prime Brokerage business is a plus
28
Cib-risk-quantitative Research Credit Assoc Resume Examples & Samples
- Developing models for the pricing and risk management of credit derivatives, including investigating improvements to existing models
- Liaising with business functions as well as other quantitative research and control teams
- Excellent written and oral communication and interpersonal skills
- Strong software design and development skills, preferably with some C++ and Python knowledge and experience
29
CIB Risk-quantitative Research Resume Examples & Samples
- The successful candidate will work on the design and implementation state of the art forecast and valuation models in Wholesale Credit. She/He will be responsible for advancing the methodology as well as the underlying model frameworks and implementation in libraries
- Explain the results to the lines of business and resolve issues based on business feedback in a timely fashion. He / She will communicate model related information such as risk, performance and results to senior management and business partners
- Strong quantitative problem solving skills and experience with application of numerical techniques to modelling
- Excellent quantitative programming skills in Python; C++ a plus
- Experience with Monte-Carlo, Quantitative finance
- Experience with Credit Risk modeling in either Wholesale or Retail (PD/LGD/EAD)
- Knowledge of Wholesale Credit CCAR, Allowance methodology (IFRS 9/CECL), Basel II and III regulatory capital
- Proficient working in a Linux/UNIX environment
30
CIB Risk-quantitative Research Associate Resume Examples & Samples
- Assist the structuring team in the development of cutting edge algorithmic indices and implement them in software for pricing and risk managing derivatives
- Strategic build out of the index calculation platform
- Develop pricing and risk management models for index derivatives
- Good communication skills; both written and verbal
- PhD or Master’s degree or equivalent from a top-tier school/program in Mathematics, Mathematical Finance, Computer Science, Physics or Engineering
- Knowledge of financial derivatives
- Several years of relevant quantitative research and development experience
- Knowledge of financial derivatives on indices, preferably in Commodities or Fixed Income
- Object oriented design and software development in a shared code base
31
CIB Risk Quantitative Research Credit Emm-associate Resume Examples & Samples
- Development, deployment and support of production code for automated and semi-automated quoting and trading of corporate bonds and credit index products in Athena
- Research, back-testing and reporting tools for quoting strategies and ongoing improvements to related infrastructure
- Development of business intelligence tools
- Strong OO design skills are required, most likely obtained using C++
- Extensive Python experience, preferably gained through usage of Athena and also including analytics tools such as pandas
- Familiarity with core Athena frameworks such as reactive, pixie, bob, hydra, reports, cbb, ATD, etc
32
CIB Risk-quantitative Research Resume Examples & Samples
- Developing mathematical models for systematic quantitative trading strategies (for example, Index Arbitrage, Statistical Arbitrage and Market Making, etc), and for Risk Management (risk optimization, hedging strategies, optimal unwind, etc)
- Evaluating quantitative methodologies, back-testing and simulating quantitative models
- Supporting trading activities by explaining model behavior, carrying out scenario analyses, developing and delivering quantitative tools, and supporting analytics to the trading desk
- Designing and developing software frameworks for analytics and their delivery to systems and applications
- Position is located in Hong Kong
- Earned a PhD or equivalent degree program in math, statistics, econometrics, financial engineering or computer science
- Mastered advanced mathematics arising in financial modeling (i.e., probability theory, time series, econometrics)
- Strong software design and development skills using Python, Java and/or Matlab
- Good understanding of the various flows on an equity floor is a plus
- Knowledge in Asian market microstructure is a plus
33
CIB Risk-quantitative Research Futures Execution Resume Examples & Samples
- Developing mathematical models for global futures execution trading algorithms
- Evaluating and documenting quantitative methodologies, parameter calibration, back-testing and simulating quantitative models
- Creating tools for post-trade transaction cost analysis
- Earned a PhD/Master or equivalent degree program in math, statistics, econometrics, financial engineering or computer science
- Knowledge of machine learning techniques and Asian market microstructure is a plus
34
CIB Risk-quantitative Research Associate Resume Examples & Samples
- Strong software development and C++ and Python programming skills
- In-depth knowledge of financial products
- 2+ years prior experience in a similar quantitative model development role
35
CIB CIB Risk Quantitative Research Resume Examples & Samples
- Support the XVA trading desk and Credit risk organisation in pricing and risk managing credit risk
- Ensure clear documentation and testing of models and work closely with the model review group in order to facilitate model approvals
- Liaise with Valuation Control and risk groups to understand limitations and risks in existing models and help in setting appropriate reserves and limits
- Excellent analytical and problem solving abilities
- Extensive C/C++ coding experience
- Experience in Counterparty Risk Modelling (CVA), funding valuation adjustment (FVA) or credit risk capital
36
CIB Risk-quantitative Research Resume Examples & Samples
- Implement products using pricing engines and models
- Strong software development skills in both Python and C++
- Object oriented programming skills with emphasis on numerical methods
37
CIB Risk-quantitative Research FX Options VP Resume Examples & Samples
- Develop models and implement them in either Python or C++
- Particular focus on support of the Electronic Trading fx options business
- Strong software development skills preferably in Python and C++
- PhD or Masters degree from top tier schools/programs in Mathematics, Mathematical Finance, Physics, Computer Science or Engineering
- Knowledge of FX Option payoffs and pricing models in electronic trading space
38
CIB Risk-quantitative Research FX Options Associate Resume Examples & Samples
- Develop FX derivatives models and implement them in either Python or C++
- Support OTC/Electronic trading business and research for new trading ideas
- Explain model behavior to traders and control functions, carry out scenario analysis, provide guidance / debug analytics
- Knowledge of FX Option payoffs and pricing models
39
CIB CIB Risk Quantitative Research Resume Examples & Samples
- Carry out research projects in order to define methodologies and improve Market Risk and regulatory capital framework
- Implementation of new models including maintenance of the existing code base
- Liaise with various functions such as Market Risk Technology, Market Risk Coverage, Market Risk VAR Modelers, Quantitative Research and Model Risk
- PhD/Masters or equivalent degree in Maths, Physics, Math Finance or Engineering
- Substantial Python or C/C++ programming experience
- Equity derivative pricing, probability theory, stochastic process, partial differential equations, numerical analysis, statistics, timeseries analysis
- Knowledge of quantitative risk modelling; VaR, risk capital models, stress methodology
- Model development or model validation experience
40
Cib-risk-quantitative Research Resume Examples & Samples
- Outstanding academic record with a higher degree in a mathematical subject from a top-tier institution
- Thorough understanding of equity derivatives pricing theory and standard models
- Strong coding skills : C++/Python development experience
- Experience in a front-office derivatives trading environment
