Quant Analyst

RESPONSIBILITIES

- Validate CCR models developed by Counterparty Credit Analytics Group. Coverage includes all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity and Credit, as well as collateral exposure modelling.
- Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated.
- Identify and quantify model risk associated with the model being validated.
- Develop benchmark models in C++ for model review and model risk management purposes.
- Prepare validation report and technical documents for the model being validated.
- Help on maintaining model inventory and perform annual model review.
- Assist market risk managers on trade approvals and finance on price verification methodologies.

REQUIREMENTS

- A quantitative PhD from a top school along with a quantitative related thesis.
- In depth understanding of financial mathematics including stochastic differential equations, probability theory, interest rates and credit risk modelling.
- Strong coding ability in C++ and Python.
- Excellent communication skills (both written and verbal) and a real hands-on ability to analytics.
- Excellent presentation, negotiation and influencing skills.
- Extremely well organized and detail-oriented.