A global Investment Bank is recruiting a Front Office Quantitative Analyst with experience as a Credit Flow Quant . This is for a front office Quant to Support of Flow trading desks on pricing and hedging of flow products. Development and implementation of models used for pricing and risk management, including PL Explain and capital charge Tools.
CDS Clear’s risk model framework covers mainly market risk on all risk factors of the European and American / index and single-name CDS products as well as Credit Index Options, from usual price moves to jump to default risk and liquidity issues. The individual will be involved in enhancing the existing risk model; recommend methodology changes based on quantitative analysis; write business requirements and design corresponding unit test cases for the risk changes, and provide general support to the test team for risk-related issues.
· Risk model methodology changes
· Propose innovative and workable solutions to cover against market risk and product-specific risks.
· Develop quickly and reliably prototypes to assess the behavior of a new methodology on a range of sample portfolios and recommend changes.
· Present and document the recommended changes in methodology in a clear and concise manner.
· Risk model changes IT implementation.
· Write business requirement documents that specify the changes to be brought to the risk calculations, accompanied by a suite of relevant test cases.
· Liaise with the other teams to explain the margin changes and help them investigate suspicious end to end test results.
· Analyse risk measures on portfolios to explain the risk profile/variations of the risk profile of portfolios on an ad-hoc basis.
Required Skills and Experience
· Master’s degree (or equivalent) of a computer science or mathematical bias;
· Strong technical skills with experience in a quantitative analysis team (coding C++/C#/python, modelling, systems)
· Data manipulation and database experience (SQL preferred).
· Strong communication skills (internal and external) / Ability to liaise with Quantitative Analysts/IT and Managers
· Strong organization skills / Ability to Multitask
· Flexible and hands-on approach
· Proactive in the promotion of new ideas
· Strong analytical, numerical and problem-solving skills, with good attention to details;
· Good communication skills, both oral and written
Excellent salary and bonus on offer, interviews over the next two weeks. Please apply ASAP
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