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Quantitative Developer, USA-CT-Stamford
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Quantitative Developer
Location:   USA-CT-Stamford  
Remuneration:   competitive base and bonus  
Position Type:   Employee  
Employment type:   Full time  
Updated:   29 Aug 2008  
eFC Ref no:   445534  
 
The quant in Risk Management will be engaged in a variety of tasks in risk management and controls. Specific responsibilities: Estimating and calibrating parameters for use in risk models (such as volatilities and correlations of forward prices, mean-reversion rates, etc.).
Measuring and monitoring portfolio risks, including develop and implement Value-at-Risk and stress-testing methodologies. Validating key quantitative/analytical models developed by businesses and affiliates of the Group. Strong academic background VaR is a must with strong coding skills Model the stochastic properties of commodities foward and spot prices. -Determine the estimation procedure of the model parameters and determine statistical significance of the results. -Develop volatility and correlation models that capture observed price behavior while affording analytical tractability and practicality for use in valuation and risk models. -Estimate commodities volatilities of forward contracts at illiquid locations. Calibrate implied volatility curves to available broker quotes. Assess cross-maturity (such as between futures contracts with different delivery months) and cross-commodity correlations (such as between soft commodities and energy commodities) of high quality in order to accurately value physical assets and cross-commodity derivatives.

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ct166758
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