Model Review Quantitative Analyst

London  ‐ Onsite
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Description

PTS Consulting is working on behalf of a leading investment bank based in central London. We are currently recruiting for a Quantitative analyst that specialises in risk function. We are looking for a Quant with experience in interest rate derivatives models.

The model re-review work will entail understanding, testing and analysing complex quantitative model, looking at for example:

  • Conceptual appropriateness of the model
  • Mathematics of the model
  • Numerical aspects
  • Model Calibration
  • Comparison to alternate model or external references
  • Estimation of any non-observable parameters
  • Model and model usage limitations
  • On-going monitoring testing
  • Review/proposal of model valuation adjustments

Skills required:

  • model validation quants with experience in interest rate derivative models.
  • experience in FX derivative models.
  • Experience in other asset classes, model validation and knowledge of model risk regulation.
  • Experience should be in pricing models, experience in risk/capital models.

Competencies:

  • Good communication skills (both written and oral).
  • Strong quantitative background.
  • Ability to work autonomously.
  • 5+ years' relevant experience.

PTS is an Equal Opportunities employer and applicants are selected solely on the basis of their relevant aptitudes, skills and abilities. No applicant shall receive less favourable treatment on the grounds of sex, marital status, civil partnership status, trans-gender status, pregnancy, maternity, colour race, nationality, ethnic origin, religion, belief, sexual orientation, disability, age. This is not an exclusive list.

Start date
ASAP
Duration
6 months Minimum
From
PTS Resourcing (UK) Ltd
Published at
24.03.2018
Project ID:
1527478
Contract type
Freelance
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