Vice President, Quantitative Analyst Risk Analytics – Rates & FX

09 Mar Vice President, Quantitative Analyst Risk Analytics – Rates & FX

Vice President, Quantitative Analyst
Risk Analytics – Rates & FX

Responsibilities

• Risk analytics and Model Review:
In-depth analysis of the latest interest rates,
FX and other hybrid models.
Analysis of the risk profile and the risk metrics of
complex product portfolios.
Current model analysis includes cutting edge cross
-currency and stochastic volatility derivatives pricing
models.

• Product analysis:
Identifying the primary risks associated with complex
derivative products and their suitability for being
risk managed in specific models.

Requirements

• PhD Degree level education, in a quantitative discipline
(Maths, Physics, Actuarial Science, Finance) or
a First Class MSc Degree in Financial Mathematics or
equivalent

• Excellent Excel and VBA skills

• Experience of C++ is an advantage.

• Experience of working in a bank environment would be
an advantage but not a pre-requisite.

• Knowledge of Stochastic Calculus, PDE’s, Probability Theory
, Derivative Pricing Theory and Interest Rate/Hybrid Models
• Ability to learn new theory and stay ahead of current developments in the field
• Hands on approach vital, with excellent communication and team skills.
• Ability to build strong relationships with business partners such as Quants, Traders, Middle Office and Finance.

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