Prescio has an open position for a Quantitative Analyst Intern in Casa Grande, Arizona as described below:
This job is an Intern position in multiple fields: banking, finance, financial consulting, financial analytics, financial writing, and banking/finance management. It will give the successful applicant experience communicating with financial analysts, consultants, banking management, and federal regulators. The job involves a great deal of reading and writing in collaboration with other quantitative analysts and consultants.
Tasks include but are not limited to and may include training in:
- 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 models: 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.
- Assist in development and validation of market risk models: Implement historical simulation and Monte Carlo simulation to calculate VAR of portfolios.
- Assist in the development and validation of fraud analytics suites: implement predictive analytics, machine learning, data mining and big data techniques to process a large data set and identify fraudulent transactions.
- Assist in the development and validation of time series models used for business forecasting.
Required Skills / Education:
- Ph.D. or MS in statistics, mathematics, applied mathematics, physics, engineering or a related quantitative field. Note: all applicants fairly considered.
- Good spoken and written English, ability to present complex subjects.
- Experience applying statistical methods to quantitative problems
- Experience in SAS, R, and/or any other programming languages
Location: 3192 N. Piper Ave., Casa Grande, AZ
Apply: Please submit your resume and cover letter using the form on our careers page at www.prescio.com/careers.