Quantitative Analyst Quantitative Analyst …

Anson McCade
in London, Vereinigtes Königreich
Festanstellung, Vollzeit
Letzte Bewerbung, 28 Nov 21
GBP100000 - GBP150000 per annum
Anson McCade
in London, Vereinigtes Königreich
Festanstellung, Vollzeit
Letzte Bewerbung, 28 Nov 21
GBP100000 - GBP150000 per annum
This role works directly with the firm's traders and control functions on a daily basis to hedge and trade as well as grow and maintain the business. In this position, you will be applying your advanced skills in mathematics and computer science to calculate CCAR to capture model deficiencies and/or idiosyncratic events, as well as being responsible for: scenarios, tools to run/replicate calculations.

CCAR Quant

London based

Our client, a very well-known tier 1 IB, is looking for a strong quant/strat with a background in XVA and/or CCAR. This role works directly with the firm's traders and control functions on a daily basis to hedge and trade as well as grow and maintain the business. In this position, you will be applying your advanced skills in mathematics and computer science to calculate CCAR to capture model deficiencies and/or idiosyncratic events, as well as being responsible for: scenarios, tools to run/replicate calculations.

The role will entail:

  • Working closely with traders and derivatives pricing quants to calculate CCAR.
  • Scenario design and developing tools to run/replication calculations
  • Explain to pricing quants and traders how scenarios are engineered

Requirements:

  • PhD in Maths/Physics/Applied Sciences or Masters' degree in Computer Science or Engineering
  • +2 year's experience working in a quantitative role within the Investment Banking industry, either a FO function working with XVA or Market Risk/CCAR.
  • Strong programming experience in Python and C++/Scala/Java
  • Previous experience with CCAR, scenario design and RWA calculations
  • Ability to learn quickly in a fast moving environment
  • Team oriented approach to sharing workload and leverage skill sets
  • Strong organisational skills and the ability to cope with rapidly changing priorities throughout the day are essential
  • Strong communication skills both verbal and written
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