Quant Model Developer – 18 Month FTC – London

Quantitative Finance and Risk
Published
21st September 2018
Location
London, United Kingdom
Job Type
Permanent
Salary
Competitive

Description

BSM Group are representing a client seeking a Quant Model Developer

Overview

In this role you will be part of the methodology team who are responsible for the development of risk methodologies used across the wider risk department. This role will sit within Quantitative Risk Group (QRG) and will focus on market risk and credit risk methodologies.

 

The team provides support to Market and Structural risk and develops models to suit their analytical needs primarily in the following areas: traded market risk, IRRBB, pension risk, structured finance.

 

We’re passionate about helping people and businesses prosper and we strive to be simple, personal and fair in everything we do. That’s why we’ve built a culture of respect, where everyone is empowered to keep their promises and go above-and-beyond for our customers, colleagues and the communities we serve.

Responsibilities:

  • Develop or support changes to valuation/pricing models including modelling cash flow for structured credit products such as CLOs, CMBS, ABS, etc.
  • End to end development of models including initial scope, data gathering, determining appropriate methodological solution, coding and implementation, as well as methodological documentation and supporting the internal approval process for use.
  • Interact with originators, methodology, and model validation during the development and the analysis of the prices and tools.

Requirements:

  • Proven experience of creating models for pricing structured credit products such as CRE, CLOs, CMBS & ABS, etc.
  • Theoretical understanding of structured finance (i.e. securitisations / covered bonds), financial derivatives and associated pricing issues.
  • Knowledge of risk management methodologies (e.g. VaR, Risk Capital, Stress Testing).
  • Excellent coding skills in Python or similar programming language.
  • Knowledge of credit rating methodologies and direct involvement in regulatory capital and IFRS9 modelling would be advantageous.
  • Proactive attitude, able to work independently and to provide quality output under tight deadlines.
  • Strong skills in communication, both orally and written form. Able to convey technical messages to less technical audiences in a confident, articulate, structured and coherent manner.
  • Strong quantitative skills (mathematical, statistical) applied in modelling and data analysis specifically in credit/fixed income structuring.
  • Strong technical background, experience in the finance industry and structured credit products.
  • Degree level education in a quantitative field, a postgraduate qualification/PhD would be advantageous

For any more information please contact georgetrewhella@bsmgroup.com

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