VP – Portfolio Optimisation Quant recruitment
Main job functions
• Fixed rate loan and derivative valuation
• Support the optimisation team through the evaluation and implementation of technology driven solutions to meet evolving business needs
• Prepare portfolio analysis to help inform efficient decision processes
• Run stress and scenario analysis
• Identify trends, developments, and information anomalies using internal and external market data and present those succinctly and effectively
Specification
• Strong proven numeric and analytical skills
• Ideally computational numerical simulation experience
• Knowledge of interest rate derivatives and valuation techniques (including their sensitivities), counterparty credit risk and understanding of the interplay between capital, funding and liquidity
• Ability to build innovative solutions including (but not limited to) developing C#/VB/VBA in house apps to solve optimisation problems, the ability to use/learn third party applications such as Matlab/R and creating and using SQL instances to analyse large data sets
• Capability to build additional knowledge rapidly starting from existing IT platforms within Optimisation
• Understanding of credit risk modelling (PD, LGD, EAD and correlation) - including the regulatory BASEL I/II/III framework
• Ideally previous experience in a valuation function
• Capability to interact across functions (Finance, Product, Quantitative Analytics)
• MSc or PhD in either Econometrics, Physics, Mathematics preferred
For immediate consideration please contact Zanib Khan via jobs@maihunter.com