Quantitative Analyst - Vice President
London, South East, England, United Kingdom
Lorien
with a minimum of 50% travel into the London office a month. The principal requirement of the role is to carry out quantitative analysis of potential counterparty credit risk model changes proposed in the context of regulatory or business requirements. Investigations will normally include model assessment, backed up by statistical tests and impact analyses. Prototype implementation, documentation and … implement the risk methods in the risk systems, whilst assisting the technical teams responsible for the production environment. · Ensure the methods are adequately documented to support internal reviews and validation by internal auditors or regulators, by providing sufficient developmental evidence (i.e. materially studies, description of assumptions, bench marking against external methodologies and justification of methodological choices); take the lead … in ensuring the successful review by model validation teams. Our requirements To be successful in this role, the candidate should meet the following requirements: · A strong academic background, with at minimum a Masters in mathematics, physics or quantitative finance. · Proven experience in a quantitative finance environment - counterparty risk. · Good knowledge of derivatives, their risk drivers and pricing models. More ❯
Employment Type: Contractor
Rate: Salary negotiable
Posted: