Salary £50,000 - £65,000 per annum
Consultant Natasha Nair
Date posted 26 March 201811 Slingsby Place, St Martin's Courtyard London, WC2E 9AB Robert Walters United Kingdom
A new Counterparty Quant position has just become available at a Bank based in London. Working on the pricing, counterparty credit, and market risk measurement modelling team, the Counterparty Quant will be responsible for reviewing and analysing the derivative pricing models used for valuation and risk.
Key responsibilities for the Counterparty Quant
- Broad spectrum covering pricing, counterparty credit and market risk measurement modelling within the commercial bank
- In charge of developing benchmark pricing models for the trading book
- Opportunity to work on validation projects across all asset classes
- Work alongside others to design and build a unified library framework to validate and run model risk
Key requirements for Counterparty Quant
- Mathematic, Finance or other quantitative qualification desirable
- Ability to programme in VBA and C++
- Previous stress testing and benchmark pricing modelling
- Understanding of stochastic calculus, derivative pricing models and partial differential equations
- Ability to communicate with key stakeholders across the bank
If you meet the above criteria and would like to find out more about the Counterparty Quant role based in London, please apply today or contact Natasha Nair on firstname.lastname@example.org or 02075098299.