Senior Quant Analyst / Lead Analyst (Pricing /Market Risk Models)

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Job title Senior Quant Analyst / Lead Analyst (Pricing /Market Risk Models) Location London Experience 2-7 years Job Duties                                          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. Qualification                                          PhD - Mathematics / Physics / Engineering / Computational Finance or similar quantitative discipline or Masters in Financial Engineering (MFE) with relevant experience can also apply Skills Required                                          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