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Quantitative Analyst - FX Validation C++

London, Greater London, United Kingdom, £ £ 72000.00-72000.00 Annual Annual, Permanent

Description:



Are you looking to further your career as a Quantitative Analyst? Do you have experience within FX validation? Then this job could be for you!

A Global Investment Bank in the City of London are currently looking for a Quantitative Analyst to join their team in London in a permanent role. The salary for the position is up to £72,000 + an excellent benefits package.

Job Summary & Responsibilities

Reporting to the Head of Model Validation, you will be responsible for FX Pricing Model Validation and oversee model validation within RPC / MCR / MRA London team. Responsibilities will include:

- Responsible for the Validation of pricing models used within the Forex activity.

- Involved in the validations for the Scarce Resources Desk XVA (CVA, DVA, FVA…).

- Implementation of alternative pricing model, study of model risk.

- Participate in the design, specification and implementation of the reserves / provisioning methodologies for the model risk.

- Involved in all products / new activities within Forex and Scarce Resources Desk

- Quantitative support: Provide support to the risk management for all quantitative issues on P&L, sensitivities & VAR, Stress…

- Others product lines (Credit Derivatives, XVA, …): Involved if necessary in non-FX quantitative issues and validation process.

Experience Required:

- Experience in dealing with exotic derivatives.

- Good Knowledge of FX pricing models

- Experience within validation of FX options desirable

Qualifications/Education Required:

- Education to degree level.

- Strong skills in mathematical finance.

- A PhD in a quantitative subject is a plus.

Skills & Knowledge Requirements:

- Strong skills in mathematical finance.

- Strong skills C++ programming and ability to programme in a common library project.

- Python/VBA programming desirable

Skills & Knowledge Requirements:

- Strong skills in mathematical finance.

- Strong skills C++ programming and ability to programme in a common library project.

- Python/VBA programming desirable

Job Details

1223664441
Not Specified
London, Greater London, United Kingdom
Permanent
£ £ 72000.00-72000.00 Annual Annual