perform statistical analysis of financial market p rices and rates, estimate individual and panel ela sticity of volatility, run stationarity and goodne ss-of-fit tests and calculate nonparametric estima tors of diffusion functions to determine appropria te functional form of risk representation, and res earch nonparametric and semi-parametric statistica l methods for portfolio tail risk attribution. Dev elop model of credit default swap risk and bond-CD S basis with data-driven flexible functional form. Research parametric asymptotic refinements as wel l as nonparametric and semi-parametric statistical methods for portfolio tail risk attribution (marg inal and component VaR) to ensure balanced capital charge allocation across business units. REQ 'MENTS: Master's degree or foreign equivalent in F inance, Economics, Statistics or a related quantit ative field and 3 years of experience performing e conometric and quantitative analysis of financial markets for a global financial services institutio n. Experience must include developing and maintain ing multi-factor models to assess corporate credit spread risk; providing principal component analys is of interest rates, implied volatilities and cre dit spreads to calculate and optimize Value-at-Ris k (VaR); analyzing and reviewing risk representati ons of derivatives portfolios; and developing and designing programs utilizing Matlab, Excel, Stata, WinBUGS and SQL. Benefits not provided We offer highly competitive salaries and a compreh ensive benefits program.Masters Degree40 hrs/week