Quantitative Analyst

Recruiter
Gresham Hunt
Location
London, United Kingdom
Salary
95000
Posted
08 May 2022
Closes
07 Jun 2022
Ref
14181012
Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Responsibilities:

  • Develop models to support VAR/IRC in line with FRTB and IMA requirements.
  • Specify and test system changes to implement improvements.
  • Improve and propose controls to increase model robustness.
  • Support colleagues in Model Validation with ad hoc projects.


Requirements:

  • Prior experience developing or validating traded risk models.
  • MSc/PhD degree in a numerical discipline.
  • Knowledge of stochastic calculus, monte carlo simulation and partial differential equations.
  • Strong understanding of derivatives pricing.
  • Experience using Python.


This is an exciting opportunity to join a high performing team. For further information, please apply with a copy of your CV.

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