Quantitative Analyst

Bullhorn Consultants Pvt. Ltd. ,
London, Greater London
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Job Description

Roles and Responsibilities: * 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 any of the following methodologies:- * Derivatives Pricing models * Market Risk/VaR models * Counterparty Risk and CVA methodologies * IMM and Risk-based margins * Enterprise-wide models including Operational risk and Economic Capital * Key responsibilities include: understanding business requirements, regulatory guidelines, cleaning/transforming data, determining appropriate modeling methodologies, model construction/testing, building prototype models, validating the models based on prescribed guidelines, model documentation and review. * 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 valuation/pricing models across asset classes with experience in different methods used. * Strong exposure to various risk concepts including VaR, CVA, IMM and Risk-based margins amongst others * Sound knowledge of standard tools and platforms used in the industry * Ability to explain complicated concepts with ease to a wide range of audiences. * Comfortable programming in one or more of the following C++/C#, Java, Python, R etc. * Good communication skills, team-work and flexibility Additional Information Below is a brief synopsis of the opportunity for your reference: Job Title: Sr. Quantitative Analyst Job Type: Contract/Permanent Job Location: London, UK Salary: GBP 65K-70K/Annum Responsibilities: Roles and Responsibilities: 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 any of the following methodologies:- Derivatives Pricing models Market Risk/VaR models Counterparty Risk and CVA methodologies IMM and Risk-based margins Enterprise-wide models including Operational risk and Economic Capital Key responsibilities include: understanding business requirements, regulatory guidelines, cleaning/transforming data, determining appropriate modeling methodologies, model construction/testing, building prototype models, validating the models based on prescribed guidelines, model documentation and review. 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 valuation/pricing models across asset classes with experience in different methods used. Strong exposure to various risk concepts including VaR, CVA, IMM and Risk-based margins amongst others Sound knowledge of standard tools and platforms used in the industry Ability to explain complicated concepts with ease to a wide range of audiences. Comfortable programming in one or more of the following C++/C#, Java, Python, R etc. Good communication skills, team-work and flexibility

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