Credit Derivatives Quant Modeller - Assoc/VP level Credit Derivatives Quant Modeller - Assoc/VP level …

Anson McCade
in London, United Kingdom
Permanent, Full time
Last application, 09 Jun 21
perfomance based bonus
Anson McCade
in London, United Kingdom
Permanent, Full time
Last application, 09 Jun 21
perfomance based bonus
Great opportunity for a quant with credit derivatives model/product knowledge to join a small team and have very big exposure and responsibility.

Credit Derivatives Quant Modeller - Assoc/VP level

London based

This team is responsible for the modelling of Credit and Bond Derivative and Cash products.

Key responsibilities:

  • Maintaining existing models and implementing new models for pricing and risk management of Credit and Bonds linked Derivative and Cash products
  • Documenting and testing new and existing models
  • Supporting the library to Strats, Trading, IT, Risk, Model Validation and Finance

Requirements:

  • Quantitative analytics, modelling, pricing and risk management skills within a financial services environment
  • Computing and programming skills and experience, utilising programming languages such as Python, Matlab, R, S-Plus, C++
  • Expertise of Credit Models and Products (CDS, credit index options, corp bonds)
  • Mathematic skills in probability, stochastic calculus and numerical methods
  • Understand the need and have the ability to travel occasionally
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