Front Office Quantitative Analyst
1 Merchant Place, 1 Fredman Drive, Sandton, Johannesburg, 2196, South Africa
ZAR 336K-420K (estimate) Mid-level Full Time
Tasks
- Apply FRTB and SIMM requirements
- Build pricing models
- Build risk management models
- Collaborate with stakeholders
- Develop and maintain pricing libraries and systems usage
- Develop mathematical models for derivatives
- Ensure stable and understood risk
- Liaise with traders for pretrade pricing requirements
- Maintain up to date quantitative finance knowledge
- Model XVA and counterparty risk
- Model vanilla and exotic trades
- Perform product analysis and research
- Provide model functionality to traders and structurers
- Resolve model issues and queries
- Support approved trades
Perks/Benefits
Skills/Tech-stack
C# | Counterparty Credit | Counterparty Credit Risk | Counterparty risk | Credit Risk | Csharp | Derivatives | FRTB | Mathematical Modeling | Murex | Pretrade Pricing | Pricing | Python | Quantitative Finance | Risk Management | SIMM | XVA
Education
Roles
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