Company overview:
Our client is a leading, agile and innovative global analytics company driven by its mission of making markets function better. They are a foremost provider of ratings, data, research, analytics, and solutions.
Role overview:
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 Rates models and Counterparty Risk and CVA methodologies
Experience in yield curves for swaps and bond pricing, multi-curve environment comprising cross currency curves and cheapest-to-deliver curves
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.
Qualifications:
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