Prescio is looking for a Quant to work within the Quant team in Casa Grande. Tasks include but are not limited to: 

 -          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. 

-          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.

-          Assist in development and validation of market risk model(s): Implement historical simulation and Monte Carlo simulation to calculate VAR of portfolios. Required Skills / EducationPh.D. in statistics or related quantitative fieldProficiency in statistical packages SAS, R, etc. Useful Skills Academic or industrial experience in implementing:- Risk model validation techniques: Scenario Analysis; Stress Testing; Back Testing- Credit risk measurement methods for PD (probability of default), LDG (loss given default) and EAD (exposure at default)     

 - AMA (advanced measurement approach) for operational risk using LDA (loss distribution approach) and copula theoryExperience or ability to work in quantitative risk capital modelingBasic understanding of accounting concepts: GAAP; LIFO-FIFODevelopment skills in C++, Java and VBA Firm Description     

Prescio Consulting is a financial risk management consulting and IT development firm. Prescio has several decades of combined experience 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.

Steve Zajac
Prescio Consulting
email: s.zajac@prescio.com

PO Box 10722, Casa Grande, AZ 85130  tel: (520) 836-4988