Analyst/Consultant/Senior Consultant, Quantitative Market Risk Models (12 Month Contract)
Tasks
- Assess counterparty credit risk models
- Build binomial trees
- Calibrate derivative pricing models
- Conduct stress testing
- Contribute to FRTB implementation
- Develop market risk models
- Evaluate XVA models
- Perform derivative valuation
- Review capital markets models
- Run Monte-Carlo simulations
- Solve partial differential equations
- Support CCAR models
- Support VaR reporting
- Validate market risk models
Perks/Benefits
- Bonus program eligibility
- Development and Innovation Days
- Flexible work arrangements
- Hybrid work structure
- Learning opportunities
- Mental health support benefits
- Mentoring
- On-the-job coaching
- Wellbeing benefits
Skills/Tech-stack
Binomial trees | C# | C++ | Capital Markets | Counterparty Credit | Counterparty Credit Risk | Credit Risk | Credit derivatives | Differential Equations | FRTB | MATLAB | Monte Carlo | Partial differential equations | Python | Stress Testing | VAR | Visual Basic | XVA
Education
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