Research Scientist, UCD College of Business, 012529

Research Scientist, UCD College of Business, 012529

Temporary (Until 31 August 2022)

UCD - University College Dublin

Dublin, Ireland

Job Ref.: 012529

University College Dublin (UCD) has openings for Research Scientist positions for a programme of research in Financial Econometrics or Empirical Finance. The candidate(s) will work in the Financial Mathematics Computation Cluster (FMC2). The FMC Cluster is a collaboration between Industry, University College Dublin (UCD), Dublin City University (DCU) and Maynooth University.

The successful candidates will work under the direction of Professor John Cotter and Associate Professor Thomas Conlon. Applicants should have a background in Economics, Finance, Financial Economics, Computer Science or related disciplines.

The Valuation AND Risk (VAR) project is a research collaboration funded by Industry and Science Foundation Ireland. VAR is part of Science Foundation Ireland's Strategic Partnership programme. The VAR partnership will address critical research questions on asset valuation and risk. The goal of VAR is to build financial research capacity with Ireland and compete globally. We provide a rich and vibrant research environment for our researchers. The Post-Doctoral scholarships offer an attractive package including a competitive salary and support for research activities (travel grant, technology grant, access to a wide array of research databases etc.). While working in the VAR project you will be able to meet, share and collaborate with world-leading academics. The Scientific Advisory Board of VAR project includes: Prof Maureen O'Hara (Cornell), Prof Michael Brennan (UCLA), Prof John McConnell (Purdue), Prof Matthew Spiegel (Yale), Prof Rene Stulz (Ohio State), Prof Douglas Breeden (Duke) Prof Hassan Tehranian (Boston College) and Josef Zechner (WU Vienna University).

Principal Duties and Responsibilities

The key components of the work programme are:

  • Researching and reporting on existing literature on factor modelling of publicly traded asset prices;
  • Identifying relationship between pricing of privately traded assets and publicly traded assets;
  • Development and calibration of factor pricing models in valuing assets, privately traded and publicly traded;
  • Implementation of factor pricing models;
  • Model risk analysis, stress testing of factor pricing models, evaluation of dynamic pricing performance;
  • Developing FinTech applications, building upon the work underpinning the core research programme;
  • Examine predictability of asset prices;
  • Examine linkages between asset prices;
  • Develop and maintain the supporting software libraries;
  • Write comprehensive reports and a user manual for the software systems produced;
  • Obtain leveraged funding on related research areas of the Partnership Programme;
  • Engaging in dissemination activities;
  • The role is a fixed term contract and will involve some travel to meetings and conferences;
  • Support if required, the development of proposals for research funding.

Applicants must have experience of research in econometric time series and cross sectional methods and modelling. Volatility modelling and risk measurement experience is highly desirable.

Selection Criteria

Selection criteria outline the qualifications, skills, knowledge and/or experience that the successful candidate would need to demonstrate for successful discharge of the responsibilities of the post. Applications will be assessed on the basis of how well candidates satisfy these criteria.

Mandatory:

  • PhD in Economics, Finance, Financial Economics, Computer Science or related areas;
  • Have ability to produce cutting edge research;
  • Have produced or have ability to produce quality research publications and presentations;
  • Have excellent communication, organisational and administrative Skills;
  • Have a proven record of working with team members and PhD students to help build their research skill and knowledge and to support and guide their professional development;
  • Ability to identify and fulfil the academic writing requirements for target publications;
  • Candidates must demonstrate an awareness of equality, diversity and inclusion agenda.

Desirable:

  • Asset Pricing experience;
  • Volatility modelling and risk measurement experience;
  • Experience relating to FinTech, especially blockchain, machine learning and large data sets;
  • Experience in the domain of Financial modelling;
  • Industry experience in asset management/risk management;
  • Record of international collaboration and funding acquisition;
  • Record of post-graduate supervision;
  • Experience in setting own research agenda;
  • The ideal candidate will be reliable, highly motivated and productive, and enjoy working collaboratively.

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© EuroJobsites 2020

EuroJobsites is a registered company number: 4694396 VAT number: GB 880 9055 04

Registered address: EuroJobsites Ltd, Unit 8, Kingsmill Business Park, Kingston Upon Thames, London, KT1 3GZ, United Kingdom

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