Global investment bank seeks AVP level Counterparty Credit Risk Quant Analyst.
The team is responsible for independently validating the quantitative financial models that are used in the Bank. The role is a manager grade position in the Counterparty Credit Risk validation team . The successful candidate will be responsible for validating individual models under the guidance of the head of the team. The work will involve theoretical mathematical analysis, model implementation and coding and documentation of the work for management review.
Key Roles & Responsibilities
Knowledge of financial mathematics, derivative pricing, collateral and initial margin knowledge, model monitoring
Knowledge of stochastic calculus, financial mathematics for derivatives pricing, and associated numerical methods, e.g. Monte Carlo, PDEs and numerical integration.
Experience of implementing large projects in Python, C++ or Haskell.
Experience in CCR and IMM modelling.
Sound judgement in assessing the strength and weaknesses of modelling approaches.
Strong communication skills and ability to work effectively as part of a Global Team and to liaise with key stakeholders. Fluency in written and spoken English.
Strong writing skills with an ability to consistently produce precise, accurate and concise documentation.
Morgan McKinley is acting as an Employment Agency in relation to this vacancy.
Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.