Pricing Models & Risk Engine Quants, (VP), London
Paris & London
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:
- Implement valuation models, tools & pricers into the quant library, including structured FX/IR, FX/Equity models and tools development
- IBOR Benchmark reform, e.g. RFR cap/floor pricing or CMS Fallback.
- Improvement of Risk systems and tools (C#) and the Risk engines code base
- Development of models, pricing tools and their system integration with a focus on Equity and FX asset classes.
- Provide modelling support for FRTB/SIMM/VaR systems and quant solutions for the computation of those regulatory metrics
- Provide support to the trading desk and risk management
- Improve the client tools and be involved in next generation of tools
Experience & Skills per role:
- Advanced development skills (C++ or C#) from implementation and support of models
- Implementation of valuation models, tools & pricers into a Quant library or Risk engine
- For the Equity/FX role, experience in developing at least one model from scratch for production
- For the SIMM role, strong knowledge of Interest Rate models
- Proven ability to provide support to the trading desk and risk management
- Experience in calibration of Stoch & Local Vol models
- PhD or Masters educated in a scientific field