Quantitative Trading & Research - Valuation Models - Vice President
LONDON, LONDON, United Kingdom
GBP 106K-125K (estimate) Executive-level Full Time
Tasks
- Apply machine learning to enhance valuation methodologies
- Build analytics to manage model risk appetite
- Collaborate with trading desks and model risk teams
- Define liquidity reserves methodology
- Define model limitations
- Define parameter uncertainty methodology
- Define pricing adjustments
- Design and develop software frameworks for analytics delivery
- Develop valuation models for credit derivatives
- Develop valuation models for illiquid collateral
- Develop valuation models for structured lending facilities
- Implement model calibration methodologies
- Monitor model performance metrics
Perks/Benefits
- N/A
Skills/Tech-stack
Artificial Intelligence | C++ | Data Visualization | Data analytics | Differential Equations | Machine Learning | Model Risk Management | Model risk | Numerical analysis | Options Pricing | Partial differential equations | Probability theory | Python | Risk Management | Statistics | Stochastic Calculus
Education
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