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Job

Quantitative Analyst/Model Validation (VP) - Counterparty Risk

  • Location

    London, United Kingdom

  • Sector:

    Financial Services and Banking

  • Job type:

    Permanent

  • Salary:

    90000 - 105000

  • Contact:

    Charlie Morris

  • Contact email:

    c.morris@hamlynwilliams.com

  • Salary high:

    0

  • Salary low:

    0

  • Published:

    4 months ago

  • Duration:

    Permanent

  • Expiry date:

    2022-03-23

  • Startdate:

    ASAP

Quantitative Analyst/Model Validation - Counterparty Risk

London

As a Quantitative Analyst (VP) within Counterparty Risk, you will be responsible for comprehensive model validation related to computing counterparty credit risk (CCR) for the banks' derivatives portfolio. These are implemented in a shared quantitative library (Omega) which aims to reuse common high-performance pricers and models across all use cases, requiring a high degree of collaboration with quants and quant developers across quant teams representing a wide range of areas of the bank.

What will you be doing?
 

  • Model validation for Monte Carlo simulation for Counterparty Risk
  • Improvements to existing CCR models and methodologies
  • Model documentation and testing
  • Development of quantitative library functionality for counterparty risk
     

What We’re Looking For
 

  • Excellent analytical and numerical skills
  • Experience with Monte Carlo simulation and relevant modeling and statistical knowledge
  • C++ and Python experience with excellent algorithmic design and reasoning skills
     

Skills That Will Help You In The Role
 

  • Master’s Degree or PhD in Computer Science, Mathematics, Physics or other scientific discipline
  • Proactive and being able to think outside the box

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