Analyst/Consultant/Senior Consultant, Quantitative Market Risk Models (12 Month Contract)
Tasks
- Apply machine learning and artificial intelligence to models
- Build PDE based models
- Calculate XVA
- Calibrate financial product models
- Conduct credit modeling
- Develop market risk models
- Estimate Value at Risk
- Implement FRTB models
- Model counterparty credit risk
- Perform financial derivative pricing
- Perform forecasting and stress testing
- Perform independent derivative valuation
- Review capital markets models
- Run Monte-Carlo simulations
- Support customer behavior modeling
- Use binomial tree methods
- Validate model outputs
Perks/Benefits
- Development and Innovation Days
- Flexible work arrangements
- Hybrid work structure
- Learning days
- Mental health support benefits
- Mentoring
- On-the-job coaching
Skills/Tech-stack
Binomial trees | C# | C++ | Capital Markets | Counterparty Credit | Counterparty Credit Risk | Credit Risk | Derivative pricing | Differential Equations | Economic Capital | FRTB | MATLAB | Model Validation | Monte Carlo | Partial differential equations | Python | Value-at-Risk | Visual Basic | XVA
Education
Bachelor of Engineering | Bachelor of Science | Master of Science | PhD
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