Pricing Models & Risk Engine Quants, (VP), London
Paris & London Ref: MREQ-0903 Up to £220k Total + Benefits & Pension Leading Global Investment Bank New Paris Quant Modelling Team: FX/Equity Derivatives Modelling, Risk Engines, IBOR Reform, SIMM, C++ or C#
This global investment bank, seeks to hire several Quant Analyst to join their Front Office team supporting FX & Equity Hybrids and Rates trading. Depending upon your skills, you will be involved either in modelling & pricing of derivatives and tools (Equity/FX) or improving the Risk Systems and Risk Metrics (C++ & C#) or IBOR, SIMM modelling. Areas where we require your quantitative expertise are listed below. This is a great opportunity to work with some of the best quants in the industry and be directly involved with the business.
5 years experience in one or more of the following areas:
1. Implement valuation models, tools & pricers into the quant library, including structured FX/IR, FX/Equity models and tools development
2. IBOR Benchmark reform, e.g. RFR cap/floor pricing or CMS Fallback.
3. Improvement of Risk systems and tools (C#) and the Risk engines code base
4. Development of models, pricing tools and their system integration with a focus on Equity and FX asset classes.
5. Provide modelling support for FRTB/SIMM/VaR systems and quant solutions for the computation of those regulatory metrics
6. Provide support to the trading desk and risk management
7. Improve the client tools and be involved in next generation of tools
Experience & Skills per role:
8. Advanced development skills (C++ or C#) from implementation and support of models
9. Implementation of valuation models, tools & pricers into a Quant library or Risk engine
10. For the Equity/FX role, experience in developing at least one model from scratch for production
11. For the SIMM role, strong knowledge of Interest Rate models
12. Proven ability to provide support to the trading desk and risk management
13. Experience in calibration of Stoch & Local Vol models
14. PhD or Masters educated in a scientific field