PCH - Risk_1613381594
about 2 months ago
This role is part of the LIBOR Transition Programme in the Quantitative Modelling team. You will be responsible for delivering changes to existing market risk, structural and counterparty credit risk models - or creating new ones - required for a successful transition to new risk-free rates.
You will gain understanding of how each methodology works, how it is implemented and how it needs to be modified. You'll be seeing each methodological change from design through to implementation; including testing and documenting your findings.
- Managing the full end to end model development cycle from design until implementation
- Managing the LIBOR transition deliverables.
- Supporting and implementing changes to existing valuation and prudent valuation models, in various programming languages
- Adjusting balance sheet management, structural risk and/or counterparty credit risk models to align to the new risk-free rates
- Documenting these changes to a high standard to enable review by the independent validation team
- Working closely with the Market Risk, Counterparty Credit Risk, Product Control and/or Front Office teams to provide quantitative support and practical solutions
- Translating technical details into real life issues that are understandable to a wide audience
- At least 5-7 years + Quantitative model development in Traded Risk/Market risk or Counterparty Credit Risk
- Demonstrable programming skills in either Python, R or C++
- Minimum postgraduate degree in a quantitative field such as Mathematics, Actuarial, Statistics, Mathematical Finance, Data Science, Operations Research, Quantitative Economics or Engineering; PhD would be advantageous.
- Demonstrable mathematical and statistical quantitative skills applied in modelling and data analysis
- Theoretical understanding of valuation and pricing models of financial products and derivatives across asset classes such as Fixed Income, Inflation, FX and Equity
- Strong technical background and relevant experience in the finance industry
- Initiative and motivation to work independently and to provide quality output, in accordance with deadlines
For more details, please send your CV to email@example.com
Please note our advertisements use PQE/salary levels purely as a guide. However we are happy to consider applications from all candidates who are able to demonstrate the skills necessary to fulfil the role.