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Quantitative Analysts
Eingestellt von Huxley Associates
Gesuchte Skills: Matlab, Python, Client
Projektbeschreibung
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 (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
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 (eg 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, eg back testing
* 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:
6 months
- Vertragsart:
-
Berufserfahrung:
Keine Angabe
Geforderte Qualifikationen
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Kategorie:
IT Entwicklung, Ingenieurwesen/Technik