| Company Information:
Prescio Consulting is a financial risk management consulting and IT development firm. Prescio specializes in fundamental and applied R&D, analytical product development in financial and commodity contexts, and customized software development and implementation. Prescio is a small minority-owned global business headquartered in Casa Grande, Arizona. Our reputation has been built on our speed of execution and quality of service. Prescio prides itself on loyalty to our employees. We hire for the long term. That being said, some of our former employees have garnered valuable work experience at Prescio before going on to find successful employment elsewhere.
Position Title:
Quantitative Analyst
Duties & Responsibilities:
1. Assist in development and validation of banking and financial markets projects involving credit risk model(s): Calculation and validation of Probability of Default, Loss Given Default and Exposure at Default; Develop recovery rate assumptions and exposure at default estimation and their ongoing validations and refinements. 2. Assist in development and validation of operational risk model(s): Apply LDA (Loss Distribution Approach) to calculate VAR (Value at Risk) for each business line and loss type of a financial institution; Develop methods to combine internal loss data with external data and scenario data; Apply EVT (Extreme Value Theory) to model and simulate heavy tailed data; Apply Copula theory to calculate dependent economic capitals. 3. Assist in development and validation of market risk model(s): Implement historical simulation and Monte Carlo simulation to calculate VAR of portfolios.
Position Qualifications:
Ph.D. in statistics, mathematics, applied mathematics, or related quantitative field, MS degree with equivalent experience will be considered Proficiency in statistical packages SAS, R, etc
Salary Range:
DOE
Benefits:
medical, dental, vacations
Web Site:
www.prescio.com
Application Address:
Steve Zajac Prescio Consulting email: s.zajac@prescio.com PO Box 10722, Casa Grande, AZ 85130 tel: (520) 836-4988
Contact Email: s.zajac@prescio.com
Application Deadline:
12/15/2012
|