Senior Quant Model Developer
Posted on Jan 4, 2023 by Resource Solutions - GSC
Senior quant model developer
6 months Contract
We're looking for a Senior quant model developer for a major UK bank to focus on the IBOR migration project. Our team works closely with both Front Office and Risk quants to generate historical scenarios for all Risk Free Rate curves.
- End-to-end model development of the RFR backfilling, such as developing model methodology, back-testing and model documentation,etc.
- Responding to model validation request.
- Work co-operatively and collaboratively with team including senior and junior resources.
- Demonstrating strong technical skills in Interest Rate derivative pricing and Python/VBA coding
- Good Interest Rate derivative product knowledge: Understanding pricing, risk factors involved, market data/instruments etc
- Good Knowledge of Interest Rate pricing models: SABR model, curve construction
- General market risk knowledge: IBOR reform background and impact, VaR modelling/Expected Shortfall, etc
- Time series construction: Historical data analysis and good experience in building platforms to create time series.
- Knowledge of various risk measures is a plus
- Statistics knowledge and Python/VBA experience
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