Pricing and Risk Model building Quantitative Analyst Pricing and Risk Model building Quantitative  …

PiC
in Amsterdam, Noord-Holland, Netherlands
Permanent, Full time
Last application, 06 May 21
Competitive
PiC
in Amsterdam, Noord-Holland, Netherlands
Permanent, Full time
Last application, 06 May 21
Competitive
Great opportunity for a Mid level (associate to VP level) Quant to join a Global Investment Bank. This is an excellent environment to work cross asset class on pricing models and risk model development globally.

Strong stochastic calculus / financial mathematics knowledge is required to work on the cross asset pricing models. The role is highly varied and you will also be involved in the latest risk model development, strong programming skills will be needed and a highly analytical mindset.

 

Your role will involve:

  •  Participating in the development of benchmark models  
  • Maintain tools , programming libraries and test environments, which are set up to support the model validation process and the risk methods in the trading risk systems
  • Work on pricing models - integration of the new products/pricing models in the existing risk frameworks
  •  Participate in the development of credit and trading exposure models
  •  Perform Quantitative analysis on Market data, trade requests and risk functionality (VaR, Expected Shortfall, IRC, CCR, AVA, Sensitivity reports)
  • Co-Operate with Quantitative analysts who develop pricing models
  • Provide support to risk managers and traders around risk modelling in their specialist areas

You will need:

  • Academic degree (MSc or PhD) in Financial Mathematics, Financial Engineering, Quantitative Finance or Mathematics
  •  Interest in and knowledge of financial mathematics, in particular, option pricing and stochastic calculus
  •  Familiarity with financial markets
  • Good knowledge of statistical modelling and software (C++, Java, Python, R, VBA, SAS, Matlab or Mathematica)
  • Good knowledge of developing complex mathematical models
  • Strong analytical, problem solving, communication and execution skills.
  • Willingness to challenge the status quo
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