Skills:
Option pricing, risk neutral pricing, curve construction, multi-curve and OIS discounting, 1-&2- factor Hull-White, BDT, Quadratic and Quasi Gaussian models (e.g. Cheyette), Libor market models, local and stochastic volatility models (e.g. Heston, SABR), numerical impl. esp. binomial/trinomial tree and Monte Carlo simulation; Parametric, historical simulation and filtered historical simulation VaR, expected shortfall, back and stress test, fat tail and tail risk management, full revaluation and sensitivity approaches, risk reporting, margin and guaranty fund, BASEL II.5 and BASEL III;Econometric methods such as linear/logistic regression, maximum likelihood method, filter, kernel smoothing, co-integration and GARCH etc.; Fixed income valuation and risk management for plain vanilla instruments such as treasury and agency bonds, TIPS, treasury floating rate notes, agency TBAs, treasury futures, Eurodollar futures, GCF repo index futures, interest rate swaps, and options on interest rate futures, mortgage rate and prepayment model; Java, C++, R, Matlab, SQL etc.; Quantitative analytics team management and leadership, intensive experience working with regulatory agencies, external/internal model validation and auditing teams