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See SELBY-JENNINGS-LONDON 25 Job offers
Risk Model Development Quantitative Analyst-London-Top Tier U.S. Investment Bank–Quantitative Research Risk Group–Modelling Quant-Circa £80,000–£100,000 plus bonus and benefits
My client is a Top Tier U.S. Investment Bank, with a great reputation for its phenomenal profits and strength in Quantitative Analytics is seeking a Risk Modelling Quant to join their rapidly growing team.
This is a model development position the QR Risk Group with a focus on Capital modelling, counterparty risk models, and other valuation research areas (e.g. modelling of illiquid assets).
The role affords the new team member opportunities to gain cross-asset experience in a wide range of business areas and its product and models, while contributing to the model development for business specific as well as bank-wide models.
Core Responsibilities:
-Develop models and implement them in software for pricing and risk managing derivatives,
-Develop pricing and calibration tools,
-Benchmark and compare results of various techniques,
-Implement products using pricing engines and models,
-Explain model behaviour and predictions to traders, identify major sources of risk in portfolios, carry out scenario analyses, provide guidance/debug analytics,
-Rapid prototyping of models and products.
Essential skills, experience and qualifications:
-Excellence in probability theory, stochastic processes, partial differential equations and numerical analysis.
-Very strong analytical and problem solving abilities.
-C/C++ coding with emphasis on numerical methods.
-Good communication skills.
-PhD or equivalent degree from top tier schools/programs in Mathematics, Mathematical Finance, Physics or Engineering.
-Up to 5 years industry experience.
Desirable skills/experience: Solid grounding in options pricing theory (i.e. quantitative models for pricing and hedging derivatives) or relevant quantitative research experience an advantage.
To apply please contact by mail or call 00 44 207 019 4137
Apply by email.
Please do not modify the subject of the mail or your application will not be considered.
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