Quantitative Analyst – Pricing Model – New York
Within an international bank, you will work in the:
- Model Validation Team, which is responsible for conducting model and product validation to help assess and mitigated the risk linked to pricing and liquidity models.
- Model implementation Team, which is responsible to create the models and implement them in the financial libraries.
You will be in charge of the identification of key risk factors and the evaluation of the soundness of the pricing model choices.
You will be in direct contact with trading desks, risk management, IT teams and other Quantitative teams abroad.
- Independent review and analysis of models used for pricing and risk management mainly in equity or fixed income derivative products (conceptual soundness of model specification and assumptions including tests in stressed market conditions, correctness of implementation or robustness of numerical aspects);
- Review of product-model adequacy in light of hedging strategies and market liquidity with studies of product sensitivities in various market conditions;
- Proposal of alternative approach and benchmark to alternative pricing models;
- Implementation (in C#, C++ or Python) of a given model in the libraries;
- Documentation of the validation or model findings with pricing framework conditions / limitations.
Is this project fitting for you?
- PhD or Master’s degree from a top university (Mathematical finance, Statistics or equivalent);
- 2+ years of experience in a pricing model validation role or other front office quant role;
- Broad exposure to Fixed Income and/or Equity Derivatives;
- Expertise in C#, C++ or Python.
Your key assets:
- Great communication skills (written and verbal);
- Great analytical skills;
- Proactive and creative.
Learn more about Quanteam
EcoVadis has certified Quanteam with the “Gold” label in 2018 to reward our CSR politcy, ranking us among the top 5% of companies rated by the CSR rating agency.
FRTB ou « Bâle IV » : Quels sont les principes de cette réglementation ? Les enjeux liés à sa mise en application ? Les avantages et les inconvénients de la nouvelle méthode de calcul des risques ? Nos experts vous disent tout dans cette interview d’introduction à leur intervention lors de la conférence EFE du 25 septembre 2018 « Bâle IV ou la finalisation de Bâle III ».
One of the components of the bilateral margin required by EMIR is Initial Margin. Our experts will describe you its method of calculation. Discover their white paper!
Follow us on social networks: