Roles and Responsibilities:
- The role will require working closely with the model development team of a large global bank. This will include developing new models, enhancing/improving, maintaining existing models to support the bank’s business activities and regulatory mandates.
- The candidates are required to have sound knowledge and exposure to pricing models across different asset classes. This will include exposure to any of the following methodologies:-
- Derivatives Pricing models
- Counterparty Risk and CVA methodologies
- IMM and Risk-based margins
- Enterprise-wide models including Operational risk and Economic Capital
- Key responsibilities include: understanding business requirements, regulatory guidelines, cleaning/transforming data, determining appropriate modeling methodologies, model construction/testing, building prototype models, validating the models based on prescribed guidelines, model documentation and review.
- Good Mathematical and numerical skills with excellent knowledge of quantitative finance topics like Geometric Brownian Motion, Stochastic Calculus, Partial Differential Equations, Monte Carlo simulation etc.
- Exposure to valuation/pricing models across asset classes with experience in different methods used.
- Strong exposure to various risk concepts including VaR, CVA, IMM and Risk-based margins amongst others
- Sound knowledge of standard tools and platforms used in the industry
- Ability to explain complicated concepts with ease to a wide range of audiences.
- Comfortable programming in one or more of the following C++/C#, Java, Python, R etc.
- Good communication skills, team-work and flexibility
Below is a brief synopsis of the opportunity for your reference:
Job Title: Sr. Quantitative Analyst
Job Type: Contract/Permanent
Job Location: London, UK
Salary: GBP 65K-70K/Annum
