Description
Quantitative Analyst - Counterparty Risk - Model Validation
My leading banking client is currently looking for a number of Quant Analyst contractors to join their team. The roles will focus both on the documentation of Interest Rate and Equities pricing models to form part of a revalidation process within Counterpart Risk, and working on a piece looking at the Front Office pricing model integration into the Counterpart Risk Framework.
The main duties will focus on:
*Model validation and testing
*Model and methodology description and documentation of integration of the pricing model into the simulation model
*Justification of modelling approaches utilised
As such applicants will be expected to have the following skills and experience:
*Strong previous background in quantitative analytics
*The ability to translate model concepts into detailed documentation
*Advanced knowledge of either Interest Rate and Equity Derivative pricing models OR Interest Rate, Inflation, and Credit Derivative pricing models
*Excellent understanding of EPE models under Monte Carlo simulation
*Technical coding experience
This is an extremely URGENT role on a high profile piece of work so please apply ASAP for an confidential discussion.
Interquest Group PLC is acting as an Employment Business in relation to this vacancy.