Website Dtalent Resoourcing LTD
Key responsibility includes:
The role will require working closely with the model development team of a large global bank. This will include developing new models, enhancing/improving, maintaining existing models to support the bank’s business activities and regulatory mandates. Exposure to pricing models across different asset classes.
Exposure to any of the following methodologies:- Derivatives Pricing models Market Risk/VaR models Counterparty Risk and CVA methodologies IMM and Risk-based margins
Understanding business requirements, regulatory guidelines, cleaning/transforming data, determining appropriate modelling methodologies, model construction/testing, models implementation, integrating models into existing systems, model documentation and review.
Successful candidate MUST have:
- Good Mathematical and numerical skills with excellent knowledge of quantitative finance topics like Geometric Brownian Motion, Stochastic Calculus, Partial Differential Equations, Monte Carlo simulation etc.
- Exposure to pricing models for interest rates derivatives including exotic and structured and hybrid products. For example Swaps, Caps/Floors, Swaptions, CMS, Autocallables etc.
- Exposure to VaR, Expected Shortfall, CVA, IMM and Risk-based margins and knowledge of regulatory initiatives such as FRTB, Libor transition would be beneficial Sound knowledge of standard tools and platforms used in the industry
- Ability to explain complicated concepts with ease to a wide range of audiences.
- Expert level programming skills in C++. Good communication skills, team-work and flexibility
- Contractors are open to apply, but please note this is a PERM position. Please ONLY apply if you have the technical skills required above.
Interview stages: 3 including technical test.
Please note due to HIGH volume of responses ONLY successful candidates will be contact within 2 weeks.