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The role will be to join the Quant team in Budapest and work alongside the global teams to help meet the current and projected demands from the business. Job Background
Markets Quantitative Analysis Department (MQ)A is a division of the Global Markets business and has responsibility for providing the analytical models which are used for pricing securities and risk managing the Firm's positions throughout the Markets' businesses. The scope of this work extends from the research into the mathematical derivation of the model, through the coding, testing, and documentation of the model for formal validation and approval, and finally to delivering the model both to the desktop and to Technology for incorporation into the Firm's books and records systems. MQA's responsibilities span the G10 Rates, Local Markets, Credit, Commodities, FX, Equity, Equity Hybrids and Mortgage/Securitised markets businesses. MQA Budapest is an integral part of the global structure of the department and plays a key role in the development of the core tools, processes and analytics.
The role will involve tasks such as
Design and implementation of pricing and hedging models for derivatives and physical transactions.
Development and maintenance of the in-house C++ pricing libraries
Producing model documentation
Advancing the quantitative toolbox by developing new technologies, algorithms and numerical techniques
Work on general efficiency improvement and optimization of the analytical library
Work on Regulatory and Governance based projects across a range of the asset classes
Extensive training will be given to the candidate. The candidate will have daily contacts with supervisor(s) and will receive interactive training from various members of the Global team, including introduction and intermediary financial courses as well as Business training. The candidate will also participate to the team weekly meetings across regions.
Knowledge and Experience:
Fundamental knowledge of C++ and Matlab
Proven track record of development and support pricing and risk models in an analytics library such as Rates, Credit, Equities, Commodities an advantage
Previous experience working on Regulatory based projects such as Model Risk, Basel III, Stress Testing, CCAR, PAA an advantage Skills:
Outstanding mathematical finance and statistical analysis skills
Knowledge of probability and stochastic calculus
Familiarity with Numerical analysis/Monte-Carlo methods Qualifications:
MSc / PhD Degree in Mathematics, Physics, Engineering, Finance or Economics Competencies:
Excellent verbal and written English
Ability to take ownership and proactively follow up on issues
Ability to work in a team and to work well under pressure in a Front-Office environment
Internal Number: 5856990
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