職責

Role Summary:

An economic scenario generator (ESG) simulates future paths of economies and financial markets, and illuminates the nature of risk elements within the economy that drive financial variability. ESG is critical for liability driven investment portfolio construction. The candidate for this role will help develop and calibrate stochastic models within ESG system.

Key Responsibilities

• Parameters estimation & simulation for stochastic processes;
• Implementation of algorithms based on academic papers;
• Model calibration;

Required experience:

• PhD in Statistics, Mathematics, Financial Engineering or related quantitative field of study;
• Experience in stochastic process simulation and variance reduction techniques;
• Experience in advanced option pricing model calibration;
• Experience in parameter estimation for multi-variate state space/affine term structure models using Bayesian type of algorithms, such as Kalman filtering, particle filtering, MCMC;

Key skills:

• Probability theory, Statistical Computing and numerical analysis;
• Advanced python programming skills;

申請方法

For any interesting party, please send your CV to apcareers@conning.com

**Personal Data collected will be used for recruitment Purposes only**

職位詳情連結