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Credit Derivatives Quant Modeller - Assoc/VP level

Employer
Anson McCade
Location
UK
Salary
Competitive
Closing date
24 Jun 2021

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Sector
Technology & New Media
Contract Type
Permanent
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Job Details

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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