Senior Quantitative Analyst
2 months ago
- Develop APIs to for both open source and bank in-house quantitative libraries and market risk engines for both calibration as well as valuation use cases, e.g.
- Zero Curve Calibration / Bootstrapping
- Hull White Model Calibration
- Put-Call Parity Analysis on Market Vol Data
- SABR Model Calibration
- Cubic Spline Interpolated Zero Rates
- Credit Curve (Survival Probabilities) Calibration / Bootstrapping
- Risk Factor de-composition: Regression of NonModellable Z-Spread Risk Factor on comparable Modellable Z-Spread Risk Factors to determine Modellable Explained and NonModellable Unexplained Risk Factors
- PCA for Curve Validation
- FX Stochastic Volatility Model: Heston implementation
- Work with the development and pre-sales teams to prototype solutions for Market Risk and FRTB Use cases, e.g.
- FRTB Risk Factor Eligibility Test
- Shock generation for Equity Vol Smile using gap filling
- Reconstruction of Equity Index time-series using proxy weightings
- Aggregation of risk sensitivities in Risk Warehouse for the standardized approach
- MSc or PhD in Financial Mathematics, Mathematics or Physics or equivalent work experience
- Strong Knowledge of option pricing theory and financial mathematic
- Experience in a quantitative role for interest rates, FX or equities gained in an investment bank
- Experience in model’s development, programming and maintenance of model’s libraries
- Knowledge of derivatives products
- Strong programming skills in Python
- Good data modelling skills including some experience with RDMS
- Strong Excel
- Knowledge of Hadoop or Java would be good but not essential
- Prior experience of Open Gamma Strata or QuantLib would be good but not essential
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