Quant Modelling Role - Big4 (0-5 yrs)
Work you will do:
- Develop and implement pricing and risk models to value vanilla and complex products across asset classes as extensions to existing software, or from scratch;
- Provide technical expertise on all aspect of quantitative modelling covering model validation, independent pricing, model risk quantification and review;
- Support other teams on a variety of client projects in the areas of, but not limited to: market risk, counterparty credit risk and xVA;
- Develop internal model risk controls;
- Benchmark to market best practice;
- Support client proposals; and
- Build and maintain strong relationships with clients and industry experts.
- Quantitative Degree (MSc or PhD) in Mathematics, Physics, Computer Science, Financial Engineering, etc;
- Strong knowledge of and professional experience in applied mathematics with a focus on probability theory, stochastic calculus, partial differential equations and numerical analysis;
- Proficiency in all concepts of the financial derivatives market and hands-on experience with modelling of at least one asset class (i.e. IR, Credit, Equity, Commodity, FX and Inflation) in a professional environment such as Model Development, Model Validation, Quantitative Research and product control, knowledge of Structured Products is particularly beneficial.
- Software development experience, preferably in a large team, implementing quantitative models; knowledge of version control tools and software development principles (with strong emphasis on testing and documentation);
- Strong programming skills: Matlab, C++ or/and Python;
- Ability to explain complex quantitative methodology in a clear and concise way;
- Ability to interact effectively with stakeholders from a variety of backgrounds and seniority.
- Practical experience with Bloomberg;
- Understanding of the regulatory requirements, particularly FRTB, IMM, Stress Testing (CCAR/EBA/PRA) and their impact on derivatives market and clients challenges;
- CFA, FRM or/and CQF