Senior Quantitative Analyst

Description

Senior Quantitative Analyst

Review and validate derivative models, including FX, interest rates, fixed income, equity derivatives, credit, etc. May also review traded risk models for Global Banking and Markets (GBM), including Central Clearing margin models and counterparty risk models such as credit risk exposure calculation, collateral models, CVA and CVA VaR, Credit add-on models, etc.

• Review and provide quantitative opinions on the models including theoretical soundness, limitations, consistency, stability, and calibration. Model risk assessment is the focus of the model review group.
• Justify the model assumptions/constraints and assess their impacts to the valuation and risk by performing sensitivity analysis and stress testing on models as required.
• Validate the implementation of the model in library, risk engines, or trading systems, and writing appraisal reports.
• Work with senior members of the model review group to develop independent quantitative library for model risk assessment and model implementation validation purposes.
• Perform quantitative/mathematical/statistical assessment procedures necessary to validate model parameters and performance.
• Keep up to date with academic, technical and industry developments in the field of derivatives model design, development, validation and stress testing, and more general regulatory requirements, in order to assess the compliance and effectiveness of the models.

Skills / Qualifications:

• At least 3 year experiences in quantitative fields.

• Solid understanding of derivative products and excellent quantitative skills are required. Strong background in financial mathematics (derivatives modelling, probability theory, mathematics, etc.).
• Broad background and deep understanding of derivative asset classes such as FX, interest rates, fixed income, equity derivatives, credit, etc. Knowledge in traded risk models is a big plus.
• Excellent verbal and written skills. Must be able to explain complex and/or technical matters clearly, accurately and concisely.
• Must have solid C/C++ and VBA skills. Knowledge in Java, Matlab, R, SAS and S-Plus is a plus.
• PhD in a quantitative or computational field (Finance, Math, Physics, Engineering, Computer Science) is preferable, but very capable MS in these fields may also be considered.

Please send your updated resume to Ciara O'Kane at Huxley to be considered for the position.