Quantitative Analyst

London  ‐ Onsite
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Keywords

Description

My client, a global investment bank, is looking for a quantitative analyst on a four month contract.

Role - 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

Start date
ASAP
Duration
4 months
From
Huxley Associates
Published at
01.08.2013
Project ID:
576280
Contract type
Freelance
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