Quantitative Specialist Contract recruitment
Overview:
Consideration of complex valuations and appropriateness of booking methodologies
Participation in the product valuation governance process
Collaboration with Senior Management, Risk Management and Model Development to highlight valuation risks inherent in current methodologies
Design/evaluation of valuation adjustments and calibration methodologies
Reporting of valuation issues
Review and implementation of independent price testing methodologies
Main Responsibilities:
Model Reviews
Review of Price-Testing methodologies
Review of Price-Testing impact tolerance ranges
Valuation Adjustments and Governance Policy and Reporting
Education:
PHD/Masters degree in relevant Quantitative (mathematically focussed) discipline
Experience:
Good understanding of derivatives, including knowledge of more complex and exotic products. Good understanding of pricing methodologies.
Technical skills:
Strong analytical and mathematical skills
Understanding of modelling concepts (Numerical modelling, Monte Carlo) and issues in Stochastic Calculus.
Strong Excel and VBA Skills
Strong communication skills