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Some of the responsibilities within the role will include, but are not limited to:
Working closely with the model development team of a large global bank. This will include developing new models, enhancing/improving, maintaining existing models to support the bank's business activities and regulatory mandates.
Wroking closely with Derivatives Pricing models, Market Risk/VaR models, Counterparty Risk and CVA methodologies, IMM and Risk-based margins.
Integrating models into existing systems, model documentation and review.
The successful candidate must have extensive experience with quantitative finance topics like Geometric Brownian Motion, Stochastic Calculus, Partial Differential Equations, Monte Carlo simulation etc. You must also have advanced knowledge of C++/C#, Java, Python, R.
The starting salary for this position will range £90,000 to £130,000 dependent upon experience, plus bonus, and benefits. These include a great work life balance and a chance to work with front office, in order to shape their business strategy. Due to the ambitious nature of the bank and the growth potential there are excellent career progression opportunities form this position
