Jr. Market Risk Modeling Quant
Jr. Market Risk Modeling Quant
Description
Mathematical analysis of front office valuation and risk models.
Product analysis: Identifying the primary risks associated with complex derivative products and their suitability for being risk managed in specific models.
Independent model implementation in the departmental quant library with C++
Qualifications
1-2 years' experience in either BGM or HJM models
Rates model related experience strongly recommended.
PhD Degree level education, in a quantitative discipline (Math, Physics, Actuarial Science, Finance) strongly preferred or a First Class MSc Degree in Financial Mathematics or equivalent
Experience of C++ is an advantage.
Experience of working in a bank environment would be an advantage but not a pre-requisite.
Knowledge of Stochastic Calculus, PDE's, Probability Theory, Derivative Pricing Theory and Interest Rate/Hybrid Models
Ability to learn new theory and stay ahead of current developments in the field
Hands on approach vital, with excellent communication and team skills.
Ability to build strong relationships with business partners such as Quants, Traders, Middle Office and Finance