Quantitative Associate

Department: OTC Derivatives Compliance

Location: Various and unanticipated worksites throughout the U.S. (HQ: Chicago, IL)

Job Type: Full-time

Job ID:  469

DIVERSITY & INCLUSION
NFA's culture supports all our employees to perform at the highest level, no matter the circumstances, and values an inclusive culture where all staff can thrive. Read more.

 

 

NFA is hiring Quantitative Associates who will be responsible for:

  • Validating and approving financial quantitative models, including internal capital and margin models.
  • Providing technical expertise on capital, margin, and other matters relating to quantitative risk management and collateral disputes.
  • Implementing programs to assess models and ensure compliance with NFA rules and CFTC requirements, including initial margin models and capital models.
  • Executing regulatory oversight problems to regulate ongoing model performance.
  • Representing and promoting NFA’s educational initiatives by interacting with NFA Members, industry representatives and other outside organizations.
  • Evaluating and understanding industry trends. 
  • Technical environment:
    • Model development, model risk-management and model performance oversight for pricing or risk models, including assessment of model's conceptual soundness, accuracy of implementation, model assumptions and model limitations and establishing compensating controls for material limitations.
    • Risk management statistical tools (probability theory and statistical inference, time series analysis and backfilling methods, proxy and approximation techniques, risk factor identification and modeling and simulation, principal component analysis, statistical distributions and statistical tests, linear algebra, and matrix computations).
    • OTC derivatives across various asset classes, underlying products and markets, pricing or risk models and valuation methods.
    • Ordinary and partial differential equations, stochastic calculus, and numerical methods.
    • Basel framework and financial risk management (market risk, credit risk, specific risk, incremental risk, and comprehensive risk).
    • VaR/SVaR models (historical, Monte Carlo, and parametric, revaluation and sensitivity-based PnL generation).
    • Model performance testing (backtesting, benchmarking, risks-not-in model analysis, stress testing, scenario analysis, sensitivity analysis, and calibration tests).
    • Coding / scripting language (Matlab, Python, R).
    • Data cleaning, data processing and analysis for large-scale financial data sets.

Job Requirements:

  • Master's degree in mathematical / computational finance, mathematics, statistics or a related quantitative field
  • 2 years of experience in the job offered, as a quantitative analyst or in a role involving financial quantitative analysis
  • Required skills:
    • Model development, model risk-management and model performance monitoring for pricing or risk models, including assessment of model's conceptual soundness, accuracy of implementation, and model assumptions
    • Risk management statistical tools (probability theory and statistical inference, time series analysis and backfilling methods, proxy and approximation techniques, risk factor identification and modeling and simulation, principal component analysis, statistical distributions and statistical tests, linear algebra, and matrix computations)
    • Derivative products across various asset classes, underlying products and markets, pricing or risk models and valuation methods; ordinary and partial differential equations, stochastic calculus, and numerical methods
    • VaR models (Monte Carlo and parametric, revaluation and sensitivity-based PnL generation)
    • Model performance testing (backtesting, stress testing, scenario analysis, sensitivity analysis, and calibration tests)
    • Coding / scripting language (Matlab, Python, or R)
    • Data cleaning, data processing and analysis for large-scale financial data sets
Telecommuting is permitted for this role.

 


 

WHY CHOOSE NFA?

We understand how important culture is to an organization, and we pursue a culture of excellence where every NFA employee, regardless of circumstances, can succeed. Our workforce respects and celebrates each employee's diversity, unique values and abilities, all of which mold our creative approach to regulation. Most importantly, we believe that our diverse, inclusive workforce makes NFA a friendly, supportive and enjoyable place to work.

MAKE OUR MISSION YOUR CAREER

NFA is purpose-driven. We safeguard the integrity of the derivatives markets, protect investors and ensure that our Members meet their regulatory obligations. We take pride in our work; maintain a conviction to do the right thing; empower each other; and support our community. Envision your career in a place where performing critical regulatory work within the financial industry is as significant as the diverse, passionate and talented individuals with whom you work.

Together, we will innovate regulation.

 

Benefits

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