Location: New York,NY, USA
DESCRIPTION:Duties: Determine whether current models are appropriate, based on user needs or research questions of interest. Research and Model initiatives on Balance sheet optimization. Model complex set of banking regulatory constraints on capital and liquidity, and create matrix to monitor banking industry. Develop quantitative tools and methods to support ongoing balance sheet management efforts. Work with multiple internal clients and partners to provide quantitative and qualitative analytics on the firm's balance sheet analysis, banking industry, or optimization topics. Support firm-wide balance sheet optimization modeling efforts. Analyze quantitative output of macro-economic/regulatory scenario simulations to identify actionable strategies and themes around Firm's balance sheet. Support Firm's balance sheet research and strategy efforts. Develop optimal capital and funding strategy for the Firm under regulatory/economic uncertainty. Create, maintain, improve internal database, and manage dataset representing potential firm-wide balance sheet opportunities. Support Firm's investment portfolio, funding research and strategy efforts. Lead project-planning efforts for key. Mentor junior team members.QUALIFICATIONS:Minimum education and experience required: Master's degree in Mathematics, Statistics, Engineering, Physics, Economics or related field of study plus 3 years of experience in the job offered or as Quantitative Research Analyst, Capital Market Analyst, Research Assistant, or related occupation. The employer will alternatively accept a Doctorate (Ph.D.) degree in Mathematics, Statistics, Engineering, Physics, Economics or related field of study plus 1 year of experience in the job offered or as Quantitative Research Analyst, Capital Market Analyst, Research Assistant, or related occupation.Skills Required: Requires experience in the following: Linear & Non-linear Optimization; Monte Carlo Simulation; Stochastic Calculus; Market dynamics of Agency MBS, Rates, Secured credit, and Unsecured credit sectors; Forecasting of macroeconomic & market variables; Banking sector capital and liquidity regulations; Theory of Financial Valuation with focus on Fixed Income and Options; Python; MATLAB; VBA; SQL; Database frameworks; Linear regression; PCA; ARFIMA; ARCH; GARCH; VAR; Feature engineering, classification and clustering algorithms; Logistic regression; Decision tree; Random forest; and K-Nearest-Neighbors search.Job Location: 277 Park Avenue, New York, NY 10172. Telecommuting permitted up to 40% of the week.Full-Time. Salary: $142,500 - $200,000 per year.