Quantitative Analyst
4 weeks ago
Top-Tier Global Investment Bank seeks a skilled Quantitative Analyst to join their Front Office team supporting FX & Equity Hybrids and Rates trading.
The successful candidate will be responsible for developing and implementing valuation models, tools & pricers into the quant library, including structured FX/IR, FX/Equity models and tools development.
Key responsibilities include:
- Implementing valuation models, tools & pricers into the quant library
- Improving Risk systems and tools (C#) and the Risk engines code base
- Developing models, pricing tools and their system integration with a focus on Equity and FX asset classes
- Providing modelling support for FRTB/SIMM/VaR systems and quant solutions for the computation of those regulatory metrics
Requirements:
- Advanced development skills (C++ or C#) from the implementation and support of models
- Implementation of valuation models, tools & pricers into a Quant library or Risk engine
- PhD or Masters educated in a scientific field
5 years experience in one or more of the following areas:
- IBOR Benchmark reform, e.g. RFR cap/floor pricing or CMS Fallback
- Development of models, pricing tools and their system integration with a focus on Equity and FX asset classes
- Providing modelling support for FRTB/SIMM/VaR systems and quant solutions for the computation of those regulatory metrics
Experience & Skills per role:
- Strong knowledge of Interest Rate models
- Proven ability to provide support to the trading desk and risk management
- Experience in calibration of Stoch & Local Vol models
Vice President - Pricing Models and Risk Management
Top-Tier Global Investment Bank is seeking a seasoned Vice President to lead their Pricing Models and Risk Management team.
The successful candidate will be responsible for developing and implementing valuation models, tools & pricers into the quant library, including structured FX/IR, FX/Equity models and tools development.
Key responsibilities include:
- Leading the development and implementation of valuation models, tools & pricers into the quant library
- Improving Risk systems and tools (C#) and the Risk engines code base
- Developing models, pricing tools and their system integration with a focus on Equity and FX asset classes
- Providing modelling support for FRTB/SIMM/VaR systems and quant solutions for the computation of those regulatory metrics
Requirements:
- Advanced development skills (C++ or C#) from the implementation and support of models
- Implementation of valuation models, tools & pricers into a Quant library or Risk engine
- PhD or Masters educated in a scientific field
5 years experience in one or more of the following areas:
- IBOR Benchmark reform, e.g. RFR cap/floor pricing or CMS Fallback
- Development of models, pricing tools and their system integration with a focus on Equity and FX asset classes
- Providing modelling support for FRTB/SIMM/VaR systems and quant solutions for the computation of those regulatory metrics
Experience & Skills per role:
- Strong knowledge of Interest Rate models
- Proven ability to provide support to the trading desk and risk management
- Experience in calibration of Stoch & Local Vol models
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