Partner at Symphoni HR
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VP/ED - Credit Derivatives Modeler - Quantitative Research Team - Bank (10-20 yrs)
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.
- 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
- 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
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