Senior Quant Analyst - Lead Analyst (Pricing /Market Risk Models)
Crisil Irevna Poland Sp. z o.o.O firmie
- Ważna jeszcze 13 dnido: 26 lip 2020
- Umowa o pracę
- Pełny etat
- Specjalista (Mid / Regular)
CRISIL Global Research & Analytics is one of the world's leading analytics providers focused on high-end research and analytics services to the world's top financial institutions, including leading investment banks and asset management firms. Apart from Poland, we have research centers in India, China and Argentina providing regional and global research support to our clients across the globe.
In Wroclaw, Poland, CRISIL GR&A specializes in offering deep insights in equity and fixed-income markets through our research capabilities as well as supporting the global markets divisions of leading investment banks in risk analytics, which includes quantitative modeling, regulatory reporting, derivative valuations and risk technology. We enable our clients to enhance revenues, accelerate time-to-market and improve operational efficiencies.
Senior Quant Analyst - Lead Analyst
Miejsce pracy: Paryż
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Senior Quant Analyst - Lead Analyst
(Pricing /Market Risk Models)
- The role will require working closely with the model development team of a large global bank. This will include developing new models, enhancing/improving, maintaining existing models to support the bank’s business activities and regulatory mandates.
- The candidates are required to have sound knowledge and exposure to pricing models across different asset classes. This will include exposure to any of the following methodologies:-
- Derivatives Pricing models
- Market Risk/VaR models
- Counterparty Risk and CVA methodologies
- IMM and Risk-based margins
- Key responsibilities include: understanding business requirements, regulatory guidelines, cleaning/transforming data, determining appropriate modelling methodologies, model construction/testing, models implementation, integrating models into existing systems, model documentation and review.
- PhD – Mathematics / Physics / Engineering / Computational Finance or similar quantitative discipline or Masters in Financial Engineering (MFE) with relevant experience can also apply
- Good Mathematical and numerical skills with excellent knowledge of quantitative finance topics like Geometric Brownian Motion, Stochastic Calculus, Partial Differential Equations, Monte Carlo simulation etc.
- Exposure to pricing models for interest rates derivatives including exotic and structured and hybrid products. For example Swaps, Caps/Floors, Swaptions, CMS, Autocallables etc.
- Exposure to VaR, Expected Shortfall, CVA, IMM and Risk-based margins and knowledge of regulatory initiatives such as FRTB, Libor transition would be beneficial
- Sound knowledge of standard tools and platforms used in the industry
- Ability to explain complicated concepts with ease to a wide range of audiences.
- Expert level programming skills in C++.
- Good communication skills, team-work and flexibility