The role forms part of the Risk Quant team within Global Markets team. Risk Quant team is also part of the Integrated Risk Analytics team.
Job Profile
- Validation of pricing models of derivatives products across all asset classes such as FX, rates, commodities, inflation, credit derivatives including exotic hybrid structures.
- Provide quantitative support to front and middle office across all trading desks with respect to valuations and modelling.
- Knowledge of yield curve methodologies and calibration of rate and credit curves.
- Programming experience with object orientated languages, e.g., Python/C++/R/C#.
- Validation of components XVAs for structured deals.
- Provide information to Market Risk, as well as base validations of trades to the accounting systems and downstream feeds to various other internal systems.
- Validation of calibration parameters for the various components under different stochastic processes.
- Experience with regulatory models for market risk, initial margin etc.
Skills and Knowledge
- Relevant experience of 2-6 years.
- Candidate should display knowledge of derivative instruments, pricing, and valuation as well as risk profiles.
- Model implementations using regression methods, Monte Carlo simulation, tree method and PDE approaches.
- Knowledge of quantitative risk management models, stochastic calculus, statistics, and numerical resolution methods.
- A CQF/CFA/FRM/BTRM qualification would be an advantage.
