Quant Analyst - Pricing/Market Risk Models
Posted on Mar 6, 2020 by Sharma Consulting Services Limited
A large multinational global player requires a skilled Quantitative (Quant) Analyst to join their client team in London.
The role will provide an exciting opportunity for the right candidate to apply their experience and enhance their skills working with a progressive organisation using the challenges offered to them.
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.
Relevant Domain Experience requirements:
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.
- Market Risk/VaR models.
- Counterparty Risk and CVA methodologies.
- IMM and Risk-based margins.
Key Responsibilities include:
- Understanding business requirements, regulatory guidelines, cleaning/transforming data, determining appropriate modelling methodologies, model construction/testing, models implementation, integrating models into existing systems, model documentation and review.
- Prior experience of working in a highly intense and delivery driven environment.
- Senior Stakeholder Management experience.
- PhD - Mathematics/Physics/Engineering/Computational Finance or similar quantitative discipline or Masters in Financial Engineering (MFE) with relevant experience can also apply.
Key Skill Requirements:
- 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 pricing models for interest rates derivatives including exotic and structured and hybrid products. For example Swaps, Caps/Floors, Swaptions, CMS, Autocallables etc.
- Exposure to VaR, Expected Shortfall, CVA, IMM and Risk-based margins and knowledge of regulatory initiatives such as FRTB, Libor transition would be beneficial.
- Sound knowledge of standard tools and platforms used in the industry.
- Ability to explain complicated concepts with ease to a wide range of audiences.
- Expert level programming skills in C++.
- Experience working on an onshore and offshore model.
- Communication Skills, Team Work and Flexibility
- Seeing the Big Picture
- Effective decision Making
- Collaborating and Partnering
- Location: Central London or Canary Wharf but might involve some travel within UK, Europe or elsewhere.
- Please don't apply if you don't have prior experience of working for a Tier-1 bank or a Financial Services institution.