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Quantitative Analyst
Eingestellt von Huxley Associates
Gesuchte Skills: Matlab, Python, Client
Projektbeschreibung
Role - Prepare model documentation to bank standards for IR and EQ pricing models as part of revalidation exercise for CCR models
Duties:
* Model/methodology description
* Narrate integration of pricing model into simulation model
* Perform/coordinate model testing
* Justify modelling approach
* Articulate ongoing model testing requirements
Skills:
* Formal training in field of quantitative analysis (eg mathematics, statistics, physics, etc.) to MSc level
* Good writing skills that translate model concepts and summaries into detailed model documentation
* Detailed analytical knowledge of market standard interest rate and equity derivative pricing models
* Good awareness of EPE model under Monte Carlo simulation
* Familiar with common statistical tests of for risk models, eg backtesting
* Coding in Matlab/Python/R
Projektdetails
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Einsatzort:
London, Vereinigtes Königreich
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Projektbeginn:
asap
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Projektdauer:
4 months
- Vertragsart:
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Berufserfahrung:
Keine Angabe
Geforderte Qualifikationen
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Kategorie:
IT Entwicklung, Ingenieurwesen/Technik