Credit Derivatives Quant Analyst
Responsibilities:
- Development and analysis of mathematical models used for the pricing and hedging of credit and hybrid derivatives with exposure to credit.
- Interaction with trading, sales and structuring areas in order to assess the corresponding business unit modelling needs.
- Research of new models available in the financial modelling literature.
- Design of suitable numerical schemes.
Requirements:
- Degree in a mathematical or scientific subject (PhD/MSc preferred but not essential).
- Experience working in a quantitative role in finance as well as exposure to a front office quantitative group within a leading institution (preferably in credit / interest rates) would be valuable although not essential.
- Deep knowledge in the following fields: stochastic calculus applied to finance, derivatives valuation models preferably applied to credit and credit / interest rate hybrid derivatives.
- Deep knowledge in numerical methods applied to finance: trees, numerical methods to solve PDEs, Montecarlo methods, Fourier techniques.
- Strong object oriented programming skills: c++, c#, vb.net.
- Strong interpersonal skills. Flexible and open minded.
Team player.
- Business oriented.
- Fluent English. Spanish not required.
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