Quantitative Analyst – Pricing Model – New York

Jul 31, 2018

Location

News York.

 

Context

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.

 

Your mission

  • 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?

 

Your competences:

  • 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.

Join us!

Learn more about Quanteam

What is the revised framework for market risk and FRTB?

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 ».

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