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Quantitative Analyst

Eingestellt von Huxley Associates

Gesuchte Skills: Matlab, Python, Client

Projektbeschreibung

My client, a global investment bank, is looking for two quantitative analysts. Previous experience within COUNTERPARTY CREDIT RISK is essential.

DUTIES - - Prepare model documentation to bank standards for INTEREST RATES and EQUITY pricing models as part of revalidation exercise for COUNTERPARTY CREDIT RISK models.

- Run tests on the models, make recommendations on how to improve them and report on the model approaches and methodology.
- Narrate integration of pricing model into simulation model
- Perform/coordinate model testing
- 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

THIS IS AN URGENT REQUIREMENT SO IF YOU ARE INTERESTED PLEASE RESPOND AS SOON AS POSSIBLE.

Projektdetails

  • Vertragsart:

    Contract

  • Berufserfahrung:

    Keine Angabe

Geforderte Qualifikationen

Huxley Associates