Quantitative Business Analyst / Programmer OTC Pricing recruitment
A global financial trading exchange have an urgent requirement for a Quantitative Business Analyst / Programmer to be responsible for developing pricing models to correctly value OTC products for a VaR ( Value at risk ) based margin calculations and scenario based stress testing of market, credit and liquidity risk. You will develop VaR based models for IR, FX, Equity and commodity OTC instruments in order to establish appropriate margins. As the Quantitative Business Analyst / Programmer you will also design and develop models to measure and manage liquidity risk, concentration risk and wrong way risk. The ideal candidate will have gained substantial experience working as a Quantitative Business Analyst / Programmer in a regulatory risk or trading environment and have previous experience and understanding of clearing house margining methodologies. Although not essential it would be preferred for the Quantitative Business Analyst / Programmer to have worked for a clearing house or on clearing systems at some point.
Essentials Skills:
- 5 years or more years hands on experience in pricing and validation of rates, equity, FX and commodity based derivatives, especially OTC derivatives.
- Pervious experience as a Quantitative Business Analyst / Programmer.
- Knowledge of market risk.
- knowledge of VaR ( Value at risk ) methodologies and related metrics.
- previous experience of implementing counterparty credit risk solutions.
- Knowledge of scenario based stress testing.
- understanding of performance issues is risk calculation and experience of identifying solutions.
- strong written, oral and interpersonal skills.
Desired skills:
- knowledge of clearing house methodologies.
- Experience of working for a clearing house.
- Knowledge of clearing technologies.
This is a great contract opportunity to work for a experienced Quantitative Business Analyst / Programmer to work for a global financial trading exchange on the latest technologies, for more details and a full spec please apply.
( Quantitative Business Analyst / Programmer / Developer / OTC / VaR / Value at risk / Stress testing / Liquidity risk / IR / FX / Derivatives, clearing / Business Analyst )