Quantitative Pricing Analyst
Prestigious Global Investment Banking Group requires a Quantitative Pricing Analyst to join their Model Risk team in the City of London.
Overview
The Model Risk team provides independent oversight and governance for senior managers of model analytics and their implementation into the risk architecture that drive valuation, risk and stress results.
The team is also responsible for the independent review and analysis of all derivative pricing models used for valuation and risk across the bank.
Key Responsibilities
The role is as a Quantitative Analyst-Developer to independently review, develop, and implement derivative models for price and risk across multiple asset classes with a particular focus on exotic derivatives.
Model analysis and development requires deep understanding of the mathematical models used, implementation methods, products traded in these markets, and the associated risks (that are inherent from trading these products).
The outcome of analysis and implementation will form the basis of discussion with key model stakeholders including: Front office trading; front office quants; market risk managers; and finance controllers.
Additional responsibilities could include: maintaining and extending the current C++ architecture used globally across model validation; supporting core model validation workflow; and contributing to Group change programs.
You will have:
A PhD qualification in a numerate subject such as Mathematics, Financial Mathematics, Physics or Statistics.
An excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms.
A strong interest in financial markets (especially derivative pricing) demonstrated by qualifications, general reading, or experience.
Experience coding in at least one programming language - preferably C or C++.
Excellent communication skills - both written and oral.
Feel free to contact me on the number below if you`re interested in this position, but are unsure about whether you`re eligible.
Global Investment Banking Group
£50-60,000 Bonus Benefits.
Where specific UK qualifications are required we will take into account overseas equivalents.
Please quote Michael Page reference when applying Job ref:MPGX13142898
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