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Job Location | London |
Education | Not Mentioned |
Salary | £600.00 - £604.69 per day |
Industry | Not Mentioned |
Functional Area | Not Mentioned |
Job Type | Contract, full-time |
Quant Analyst (Valuation / Sensitivities) International Financial InstitutionContract: £604.69 p/d PAYE (Inside IR35)Central London (Initially WFH)As a preferred and trusted recruitment partner to this international banking group for over eight years we have been asked to assist in the hire of several Quantitative Analysts, including one to specifically support change and development of the model and tools used for official valuation, sensitivities and other measures, providing quantitative support to the front office and related functions. You will be responsible for the development and configuration of risk views; the analysis of change of valuation models on valuation, sensitivities and P&L attribution; supporting model validators and other members of the middle office; and model analysis and improvement (calibration, risk stability, market data, etc.).Essential Requirements / Skills-Experience contributing to valuation model used for official accounting PV-Solid knowledge of pricing of vanilla interest rate products-Good understanding of sensitivities and P&L attribution-Advanced C# / C++ Development SkillsPreferred and Desirable Requirements / Skills-Good mathematical and financial modelling skills in rates (understanding of HW, local and stochastic vol models)-Good knowledge in numerical methods and Monte Carlo valuation (variance reduction, Greek computation, etc.)-Good understanding of curve construction and impact of different choices on valuation and risk-Regulation knowledgeCandidates may have held similar job titles; Quant Analyst, Quantitative Analyst, Middle Office Quant Analyst, Middle Office Quantitative Analyst, Valuation Quant Analyst, Valuation Quantitative Analyst, Sensitivities Quant Analyst, Sensitivities Quantitative Analyst, Quant Developer, Quantitative Developer.Deerfoot IT Resources Ltd is one of the UKs leading IT Recruitment Agencies. Established in 1997, we have over twenty years of experience as IT Recruitment Specialists and practice a meticulous recruitment service for our clients. We are stable contracting partner and will never send your CV anywhere without your full email authorisation and only after you have seen the full and complete details on this opportunity. Deerfoot is acting as an employment agency in relation to this vacancy.Each time Deerfoot sends a CV to a recruiting client we donate £1 to The Born Free Foundation (1070906). Required skills
Keyskills :
Front Office Financial Financial Modelling PL PhD MSc Mathematical Modelling Model Validation C Development C Development Valuation Model Accounting PV Vanilla Interest Rate Sensitivities Monte Carlo valuation Curve Construct