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- Validate pricing and risk models with independently constructed models, with initial focus on Potential future exposure (PFE) and Counter Party Credit Risk models.
- Liaise with front office and risk on results and produce detailed validation reports.
- Take ownership of some of the team’s internal initiatives and projects. Contribute to the various bank wide projects that require quantitative technical expertise.
- Around 3 years of experience in a relevant function as quantitative analyst or researcher.
- Experience in quantitative finance, especially validating pricing and risk models and/or developing models is essential.
- Advanced degree in technical disciplines such as engineering, mathematics or quantitative finance, etc
- Analytical skills and knowledge of mathematical models and methods in stochastic calculus, Monte Carlo simulation and PDE modelling.
- Experience with at least one programming language is essential. In particular, C#, C++, Python are a plus.
- Experience with Counter Party Credit Risk or Potential future exposure (PFE) are a plus.
- Strong communication skills, candidate must be able to communicate complex ideas and concepts into simple and easy to understand terms.
- Ability to relate to people and build rapport to gain the respect of subordinates and peers.
- Good interpersonal skills and ability to build and maintain professional relationships.
- Validate pricing and risk models with independently constructed models, with initial focus on Potential future exposure (PFE) and Counter Party Credit Risk models.
- Liaise with front office and risk on results and produce detailed validation reports.
- Take ownership of some of the team’s internal initiatives and projects. Contribute to the various bank wide projects that require quantitative technical expertise.
- Around 3 years of experience in a relevant function as quantitative analyst or researcher.
- Experience in quantitative finance, especially validating pricing and risk models and/or developing models is essential.
- Advanced degree in technical disciplines such as engineering, mathematics or quantitative finance, etc
- Analytical skills and knowledge of mathematical models and methods in stochastic calculus, Monte Carlo simulation and PDE modelling.
- Experience with at least one programming language is essential. In particular, C#, C++, Python are a plus.
- Experience with Counter Party Credit Risk or Potential future exposure (PFE) are a plus.
- Strong communication skills, candidate must be able to communicate complex ideas and concepts into simple and easy to understand terms.
- Ability to relate to people and build rapport to gain the respect of subordinates and peers.
- Good interpersonal skills and ability to build and maintain professional relationships.