FO Credit Quant - London

Location: London

Salary Range / Rate: 70000-80000£

Job Description

Job ID: 545 January 21, 2020 +44 02030267557

The role will require working closely with the quantitative analytics team of a large global bank. This will include developing new models, analytics, tools for desk, enhancing/improving, maintaining existing models to support the bank’s business activities and regulatory mandates. The candidates are required to have sound knowledge and experience in pricing models for credit and securitization products. Exposure to general derivatives pricing methods, counterparty risk (XVA) and market risk methods would be useful 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, hedging analysis, stress testing, analytics development.

Skills Required:
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 for credit and securitization products. Experience and knowledge of regulatory initiatives such as FRTB, Libor transition is useful Understanding of model risk and associated regulatory guidelines Strong exposure to various risk concepts including VaR, CVA, IMM and Risk-based margins amongst others is required. 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 C++. Good communication skills, team-work and flexibility

Agency Name: Vserve Consultancy

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Location: London,UK

No of Vacancies: 2

Job Sector: IT, Software, Internet, Analytics

Job Type: permanent

Education: PhD – Mathematics / Physics / Engineering / Computational Finance or similar quantitative discipline or Masters in Financial Engineering (MFE) with relevant experience can also apply

Experience: 5 - 10

Salary Range / Rate: 70000-80000£

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