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Quant Analyst - Cross Asset Exposure Models

  • Job type: Permanent
  • Location: London
  • Salary: £105000 - £140000 per annum
  • Job reference: SJ546832
  • Sector: Banking and Finance, Risk Management, Selby Jennings
  • Date posted: 10/01/2018
VP - Quant Risk Analyst - PFE/EPE

My client, a top US investment bank, is looking to add a senior level quant to their exposure analytics team.  This is a growth hire and for the right candidate will offer the opportunity to manage projects as well as direct reports right away.  This group interacts will multiple other areas of the business and is full of some of the industry’s top quants.

Some of the main responsibilities of this role include:
  • Developing calibration methodologies
  • Developing and testing pricing models
  • SME on Counterparty Credit Risk and IMM models.              
  • Working with multiple areas of the business to implement the models
  • Work alongside the model validators
  • Interact with regulators
Required Qualifications:
  • 5+ years of experience in quantitative risk modeling
  • Ph.D. in Mathematical field with a stochastic calculus/process background
  • Excellent communication skills
  • Expertise in CCR modeling
  • Extensive derivatives experience
  • Strong programming skills specifically in C++
  • Hands on experience with quantitative risk measures (IMM, PFE, EPE)
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