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Quantitative Analyst

eFinancialCareers
Job LocationLondon
EducationNot Mentioned
SalaryCompetitive salary
IndustryNot Mentioned
Functional AreaNot Mentioned
Job TypePermanent , full-time

Job Description

On behalf of our client, AMS are looking for a Quantitative Modeller/Analyst for a 6 Months based in London/Hybrid.Purpose of the Role:An excellent opportunity has arisen for a highly motivated applicant to join the Chief Operating & Risk Science Office - Market and Liquidity Risk team within Bank. This is an exciting opportunity to be part of a dynamic team in a changing and complicatedenvironment, which offers considerable scope for personal development.As a Quant Modeller/Analyst you will be responsible for:Youll join a team which is responsible for the independent review and analysis of the derivative pricing models used for valuation and risk. We also cover equity investment and real estate valuation models.Youll develop and benchmark pricing models in an independent code library using either C++ or Python, provide theoretical analysis and review of pricing models across asset classes understanding the mathematical models used and their implementation methodsYoull also provide qualitative analysis and stress testing of models needed for pricing and/or risk calculation.Other responsibilities include:

  • Conducting the annual review for pricing models
  • Undertaking algorithmic trading validation work according to MiFID regulation
  • Undertaking trade surveillance validation work needed by FCA regulation
  • Crafting model reserves and calculate model risk AVAs
  • Reviewing the Prudential Valuation adjustments including reserves
What we require from the candidate:To be considered, it is crucial that you have a numerical or statistical background (evidenced through a higher qualification to at least Masters level in a quantitative subject such as Mathematics or Finance, or via demonstrate commercial experience ina quantitative role)It is also crucial to have experience of working in a Front Office Quant role.In addition, knowledge and experience of the following would be beneficial:
  • Strong analytical skills
  • Programming experience in C++ and/or Python including library architecture design
  • Excellent written and oral communication skills with an ability to communicate quantitative models in a clear and concise manner
  • Theoretical understanding and familiarity with derivative pricing models, stochastic calculus, partial differential equations and Monte Carlo simulation
  • Ability to work independently to deadlines and under time pressure
If you are interested in applying for this position and meet the criteria outlined above, please click the link to apply and we will contact you with an update in due course.AMS, a Recruitment Process Outsourcing Company, may in the delivery of some of its services be deemed to operate as an Employment Agency or an Employment Business

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