What are the responsibilities and job description for the Quantitative Analyst #990919 position at Dexian?
Job Title: Quantitative Analyst – Fixed Income & Market Risk
Location: Jersey City, NJ (Hybrid – 3 days onsite required)
Employment Type: Contract (Long‑term potential)
Interview Process
- Round 1: Virtual
- Round 2: Onsite
Role Overview
We are seeking an experienced Quantitative Analyst to join a team responsible for the development, enhancement, and maintenance of fixed income and market risk models. This role focuses on risk measurement, margin methodology, and regulatory risk analytics, not trading or alpha generation.
The successful candidate will have hands‑on experience with Value at Risk (VaR) models, stress testing, and fixed income risk analytics, particularly within environments involving clearing, margin, capital, or regulatory risk frameworks.
This role is ideal for candidates who work on the question “How risky is the portfolio and how much capital or margin is required?” rather than “How do we generate returns?”.
Key Responsibilities
Risk Model Development & Analytics
- Develop, maintain, and enhance market risk and fixed income risk models, including VaR‑based methodologies.
- Support margin and collateral calculations, including initial margin and variation margin analysis.
- Design and produce risk metrics, sensitivities, and stress results to assess portfolio exposure.
- Perform model performance monitoring, validation support, and output analysis.
Fixed Income Risk Modeling
- Analyze and model risk for fixed income instruments, including:
- U.S. Treasuries
- Interest rate swaps
- Corporate bonds
- Mortgage‑Backed Securities (MBS)
- Support yield curve modeling, cash‑flow analysis, and sensitivity measures such as:
- DV01
- Duration and convexity
- Key rate duration
- Apply scenario analysis and stress testing, including rate shocks and spread widening.
Collaboration & Reporting
- Partner with internal risk, modeling, and technology teams on enhancements and new model initiatives.
- Prepare risk analysis outputs, documentation, and reports for internal stakeholders and external supervisors.
- Independently validate analytical results and ensure accuracy, transparency, and consistency of risk outputs.
Required Qualifications
Core Experience
- 5 years of professional experience in quantitative modeling or risk analytics
- 3 years of hands‑on experience with fixed income and/or market risk models
- Direct experience working with Value at Risk (VaR) models (historical, Monte Carlo, or parametric)
- Strong background in fixed income risk, not equity or trading strategies
Technical Skills
- Strong proficiency in Python for:
- Statistical modeling
- Risk analytics
- Data processing and analysis
- Working knowledge of SQL for data querying and validation
- Ability to independently analyze, format, and validate quantitative results
Education
- Master’s degree or higher in a quantitative field such as:
- Mathematics
- Statistics
- Financial Engineering
- Physics
- Economics
- Computer Science
Strong Plus / Preferred Experience
- Experience with margin models, clearinghouse risk models, or collateral calculations
- Exposure to regulatory capital frameworks (e.g., Basel III, FRTB)
- Experience with Treasury securities or MBS pricing and risk
- Prior work in clearing, custody, or post‑trade risk environments
- Familiarity with stress testing frameworks used for regulatory or supervisory purposes