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Quantitative Analyst
Eingestellt von Huxley Associates
Gesuchte Skills: Matlab, Python, Client
Projektbeschreibung
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
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Einsatzort:
London, Vereinigtes Königreich
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Projektbeginn:
asap
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Projektdauer:
6 months
- Vertragsart:
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Berufserfahrung:
Keine Angabe
Geforderte Qualifikationen
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Kategorie:
IT Entwicklung, Ingenieurwesen/Technik