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Senior Quant Model Developer

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

Job Description

Senior quant model developerHybrid6 months Contract LondonPurpose:Were looking for a Senior quant model developer for a major UK bank to focus on the IBOR migration project. Our team works closely with both Front Office and Risk quants to generate historical scenarios for all Risk Free Rate curves.Main Responsibilities:

  • End-to-end model development of the RFR backfilling, such as developing model methodology, back-testing and model documentation,etc.
  • Responding to model validation request.
  • Work co-operatively and collaboratively with team including senior and junior resources.
  • Demonstrating strong technical skills in Interest Rate derivative pricing and Python / VBA coding
Skills Required:
  • Good Interest Rate derivative product knowledge: Understanding pricing, risk factors involved, market data/instruments etc
  • Good Knowledge of Interest Rate pricing models: SABR model, curve construction
  • General market risk knowledge: IBOR reform background and impact, VaR modelling / Expected Shortfall, etc
  • Time series construction: Historical data analysis and good experience in building platforms to create time series. Knowledge of various risk measures is a plus
  • Statistics knowledge and Python/VBA experience

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