Description
My client, a global investment bank, is looking for two quantitative analysts. Previous experience within Counterparty Credit Risk is essential.
Duties -
- Prepare model documentation to bank standards for Interest Rates and Equity pricing models as part of revalidation exercise for Counterparty Credit Risk models.
- Run tests on the models, make recommendations on how to improve them and report on the model approaches and methodology.
- Narrate integration of pricing model into simulation model
- Perform/coordinate model testing
- 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
This is an URGENT requirement so if you are interested please respond as soon as possible.