VP/ED - Credit Derivatives Modeler - Quantitative Research Team - Bank

Our Client leading Global Bank is looking for  VP/ED - Credit Derivatives Modeler , for their Quantitative Research team focusing on pricing models, model evaluation and infrastructure for the credit derivatives business including mathematical modelling and development of model evaluation platforms.

Responsibilities:

- Developing models for the pricing and risk management of credit derivatives, including investigating improvements to existing models

- Writing model documentation compliant with internal and regulatory standards

- Working with model control teams to facilitate timely and efficient review and approval of models

- Liaising with business functions as well as other quantitative research and control teams

- Explaining model behavior, carrying out scenario analyses, developing and delivering quantitative tools, and supporting analytics

Requirements:

- An advanced degree in math, statistics, physics, financial engineering, computer science or other quantitative fields from a premier institute

- Knowledge of fixed income markets, in particular credit products and models

- Strong software design and development skills, preferably with some C++ and Python knowledge and experience