Quantitative Analysts

Job Type: Contract (6 months)
Location: Canary Wharf, London
Daily Rate: £400 - £500 per day
Industry: Banking / Financial Services

My client, a global investment bank, is looking for two quantitative analysts.

Role 1 (4 month contract) - 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 (e.g. 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, e.g. backtesting
* Coding in Matlab / Python / R

Role 2 (6 month contract) - Write up motivation / rationale, method, observations, and conclusions for testing of FO pricing model integration into CCR simulation framework

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 (e.g. mathematics, statistics, physics, etc.) to PhD level
* Good writing skills that translate model concepts and summaries into detailed model documentation
* Detailed analytical knowledge of advanced interest rate, inflation, and credit derivative pricing models
* Detailed analytical knowledge of EPEE model under Monte Carlo simulation
* Familiar with common statistical tests of for risk models, e.g. back testing
* Coding in Matlab / Python / R
To find out more about Huxley Associates, please visit www.huxley.com