Market Risk Models Quant Specialist
4 weeks ago
Market Risk Models Quant Specialist
This role is an excellent opportunity to work on cutting-edge models in a highly quantitative global environment. As a Market Risk Models Quant Specialist at Millar Associates, you will be responsible for providing modelling support for Interest Rate Vol, Curves, Swaptions and VAR methodologies.
Key Responsibilities:
- Provide modelling support for IR Vol, Curves, Swaptions and VAR methodologies
- Improve the client Risk tools and be involved in next-generation tools
- Development of alternative models/methodologies for model risk
- Improvement of Risk systems and tools (C#) and the Risk engine code base
- Day-to-day support of stakeholders in all model-related questions including the Trading Desks & Risk Management & other Quants
Requirements:
- Masters (ideally PhD) educated in a quantitative field (Physics, Maths, Engineering)
- Sound judgement in assessing the strength and weaknesses of modelling approaches
- Strong knowledge of Interest Rate models, Curves, CMS, (FX Options useful as well)
- Good knowledge of stochastic calculus and IR modelling is an absolute must
- Experience gained in either a Model Validation, Quantitative Risk or Front Office will be of interest
- Experience implementing derivative valuation models in C++ or C#
- Strong communication skills (English) both written & verbal
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