Quantitative Analyst, Developer, Financial Engineer, IR FX, C#
Quantitative Analyst, Developer, Financial Engineer, IR FX, C#, Banking London
An excellent opportunity for a highly numerate Quantitative Analyst or Developer or Financial Engineer to join a growing banks dedicated Market & Liquidity Risk Management Division. You will be the sole Quantitative Analyst for this function, working closely with the Market & Liquidity Risk Director and acting as the sole SME for all quantitative issues and related project work such as yield curve building, volatility surface building and IR / FX derivatives pricing.
This role is ideally suited for a Quantitative Analyst or Developer or Financial Engineer that is seeking to move into a dedicated Quantitative Analyst role for an entire department, being responsible for all new existing quant work such as yield curve building, volatility surface building and IR / FX derivatives pricing.
- Strong academic background with Masters in Mathematics, Physics, Financial Mathematics or similar
- Strong mathematical knowledge, covering stochastic calculus, statistics and numerical methods
- Must have experience with OO programming languages such as C#, VBA, VB.NET or C++
- Extensive knowledge of financial markets, products, methodologies and financial analytics including an understanding of the key concepts of derivative instrument pricing and risk measurement
- Knowledge of financial models and methodologies including interest rate modelling and Monte Carlo
- IR and/or FX derivatives product knowledge
- Model development experience such as yield curve building and volatility surface building
- Act as the sole Quantitative Analyst for the Market & Liquidity Risk function, providing subject matter expertise on quantitative issues and projects, centered around valuations, risk calculations and financial modelling
- Develop, implement and support new and existing in-house financial analytical models and libraries using C# development and coding
- Creation of models such as yield curves and volatility surface
This job was originally posted as www.cityjobs.com/job/960716014