FO Rates Quant (Yield Curve) Modeller

Net2source Global Workforce Solutions Ltd ,
London, Greater London
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Position: FO Rates (Yield Curve) Modeller Location: London, UK Job Type: Permanent Job Duties * 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. * The candidates are required to have sound knowledge and exposure to pricing models across different asset classes. This will include exposure to Rates models and Counterparty Risk and CVA methodologies * Experience in yield curves for swaps and bond pricing, multi-curve environment comprising cross currency curves and cheapest-to-deliver curves Key responsibilities include- 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. Qualification PhD - Mathematics / Physics / Engineering / Computational Finance or similar quantitative discipline or Masters in Financial Engineering (MFE) with relevant experience can also apply Skills Required: * 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 About Net2Source Inc Net2Source is an employer-of-choice for over 1000 consultants across the globe. We recruit top-notch talent for over 40 Fortune and Government clients coast-to-coast across the U.S. We are one of the fastest-growing companies in the U.S. and this may be your opportunity to join us! Want to read more about Net2Source? , Visit us at www.net2source.co.uk

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