Description
Role - Write up motivation/rationale, method, observations, and conclusions for testing of Front Office 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