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Senior Quant Analyst (Pricing / Market Risk Models)

  • Location: Paris / London
  • Salary: 75.000€ - 100.000€
  • Job type: Permanent
  • Job reference: MSM 330
  • Sector: Market Risk, Quant Analytics
Job Description
Great opportunity to join an international consultancy firm currently looking to hire Senior Quant Analysts with specialisms in pricing and market risk models for a final end client who is a major player in the financial services and investment banking sector. The Analysts can be equally based in London or Paris. 
 

Responsibilities

  • Close connection with the model development team of a large global bank
  • Implementation of the existing working frameworks in line with the regulatory guidelines: cleaning and transforming available data and determining appropriate modelling methodologies
  • Development of new models, enhancement/improvement, maintenance of existing models and their integration in the existing systems
  • Work with pricing models across different asset classes (i.e. Derivatives Pricing models; Market Risk/VaR models; Counterparty Risk and CVA methodologies; IMM and Risk-based margins)

 

Skills

  • PhD – Mathematics / Physics / Engineering / Computational Finance or similar quantitative discipline
  • Masters in Financial Engineering (MFE) with relevant experience can also apply
  •  Good Mathematical and numerical skills with excellent knowledge of quantitative finance topics like Geometric Brownian Motion, Stochastic Calculus, Partial Differential Equations, Monte Carlo simulation etc
  • Exposure to pricing models for interest rates derivatives including exotic and structured and hybrid products. For example Swaps, Caps/Floors, Swaptions, CMS, Autocallables etc.
  • Exposure to VaR, Expected Shortfall, CVA, IMM and Risk-based margins and knowledge of regulatory initiatives such as FRTB, Libor transition would be beneficial
  • Expert level programming skills in C++

 

 

To know further details and apply, please get in touch with msm@barclaysimpson.com / 0044 2079368975

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