Quantitative Analyst - Derivatives Pricing and Market
London, England, United Kingdom
A GBP 63K-85K (estimate) Mid-level Full Time
Tasks
- Apply FRTB modelling
- Apply IBOR modelling
- Build and validate Incremental Risk Charge
- Build and validate Value at Risk
- Build and validate stressed Value at Risk
- Collaborate with front office quants to create testing plans
- Develop CVA models
- Develop statistical techniques for risk modelling
- Support regulatory and risk modelling projects
- Test derivative pricing models
- Validate derivative pricing models
Perks/Benefits
Skills/Tech-stack
.NET | C++ | CVA | Derivative pricing | FRTB | IBOR | Incremental Risk Charge | Java | Market Risk | Model Validation | Numerical Methods | Probability theory | Python | R | SQL | Statistical Techniques | Stressed Value at Risk | Value-at-Risk
Education
Bachelor of Engineering | Bachelor of Science | Master of Engineering | Master of Science | PhD
Roles
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