Senior Quantititave Analyst
I am currently supporting a consultancy with the below requirement which is urgent:
- Excellent Knowledge of pricing models for FX/Interest rates derivatives including exotic and structured products. Few examples: Caps/Floors, Swaptions, CMS, FX Barrier options and FX Asian Options.
- Good mathematical and numerical skills with excellent knowledge of quantitative finance topics like Geometric Brownian Motion, Stochastic Calculus, PDEs, Monte Carlo simulation.
- Good knowledge of regulatory initiatives such as RFR Transition, SIMM, FRTB and recent market activities on these initiatives.
- Good understanding of Yield Curve modelling, Interest Rate Swaps and ability to explain Interest Rate Risk
- Knowledge of SR11-7 framework and ability to design test plan, ongoing model monitoring framework for Pricing Models
- Excellent model documentation skills and verbal communication
My client can interview and offer this week!
If you would like to apply get in touch with Edward asap on:
020 3370 2000