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

• Market Risk/VaR 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