Libor Transition Risk & Pricing Model Validation Quant Libor Transition Risk & Pricing Model Validation  …

ITS-City Ltd
in London, England, United Kingdom
Contract, Full time
Last application, 07 Apr 20
Competitive Daily Rate
ITS-City Ltd
in London, England, United Kingdom
Contract, Full time
Last application, 07 Apr 20
Competitive Daily Rate
Highly experienced Quant required to join this European Investment Bank on a rolling 6 month Contract

To join this Risk & Validation Quantitative Analytics team you will possess a minimum of 15 years commercial experience in a similar work environment. You possess key Interest Rate Derivatives and or XVA/PFE  experience. You will develop prototype models and support the new changes to the calibration of the  engine. You will validate  XVA PFE CCR Counterparty Credit risk Models in relation to LIBOR transition to the RFR indices model. You will actively engage with key stakeholders in the Front Office and IT throughout this challenging project.You possess key Python Coding expertise coupled with excellent quantitative finance  knowledge. 

This candidate will play a pivotal role in shaping this Banks future and reducing the Bank's legacy Exposure. 

All candidates must possess the minimum of a Masters (or equivalent) and ideally a PhD (or equivalent) in a Quantitative discipline with solid English communication skills 

My Client is seeking a very strong candidate who can begin work at a months notice on this large scale exciting project.

To apply submit your CV to Ben Baxter

ben@its-city.com

Tel 0203 176 6647

 

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