Job Description
• Build and maintain projection models based on time series data
• Develop tools to facilitate testing and performance monitoring of projection models
• Document model methodology and related processes
• Collaborate with Quant Strats internal and external teams on development,implementation, and review of projection models
Skills Required:
• Detailed understanding of time-series analysis techniques, and more general econometric modeling methods (ARDL, ECM, ARIMA, VAR, GLM)
• Proficient in using R language to conduct advanced data analysis and to calibrate, test and implement statistical models
• Master’s degree in a quantitative discipline (Economics, Econometrics, Mathematics, Statistics, etc.)
• Outstanding written and verbal communication skills and an ability to compose well-structured technical model methodology documentation.
The following will be advantageous:
• Experience with one or more of the following tools: Excel, VBA, SAS, Stata, SPSS, Eviews, and/or Matlab
• Experience with Monte Carlo simulation methods
• Risk analysis experience within the financial industry
• PhD. in Economics, Applied Statistics, or other highly-empirical disciplines