- Analytics is the analytics package used across all divisions for trading and the risk management of cash and derivatives in all asset classes of the bank: rates, credit, foreign exchange, commodities, equities, inflation, corporate finance, money markets, mortgages, hybrids, emerging markets. Furthermore, Analytics is used in many of the regulatory and portfolio calculations.
- Maintaining existing models and implementing new models for pricing and risk management of cash and derivative products.
Documenting and testing models
Supporting the Analytics library to strats, trading, GTO, Risk and Finance
- Education: PhD (preferred) in Maths, Physics or Finance
4-7 years of experience in the financial services industry working on pricing models.
Strong quantitative skills (stochastic calculus, numerical methods, finite differences, Monte Carlo)
Knowledge of derivatives modeling is a must.
Some exposure to models of the term structure of interest rates is desirable.
Good programming skills (C++)
Strong interpersonal skills
For any more information please contact firstname.lastname@example.org