Description
Quantitative Analyst - Asset Liability Management - Investment Bank
A leading investment bank are undertaking a number of changes to their quantitative and behavioural models for asset liability management and have a fantastic opportunity for a Quantitative Analyst to research, develop and maintaining behavioural models to support the treasury function and ensure compliance with the CCAR regulation.
As a Quantitative Analyst you will be responsible for designing, building and delivering robust, production quality behavioural models, coding within a unified library for use within the Treasury function, assisting with the systematic review and on-going assessment of existing models for forecasting asset and liability behavioural balances. You will also be responsible of providing high quality, delivery-focused technical solutions to treasury infrastructure requirements and liaising with business stakeholders to ensure that the model meets their requirements, forming consensus on the model's assumptions an understanding the associated risks.
You should apply for this role if you are/have:
- 3+ years quantitative analysis experience in leading banking institutions
- Strong financial product knowledge across one or more asset classes
- Strong Python and/or C++ skills; SAS and R also beneficial
- Strong understanding of statistical and econometric modelling,
- Non parametric statistics, Bayesian analysis, time-series, regression and estimation techniques.
- MSc, preferably PhD, in a quantitative discipline
This is an initial six month contract at £600-£700/day based London.