C++, GIT, model development, market data, Quant libaries,
- You will be 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.
- You are required to have sound knowledge and exposure to pricing models across different asset classes.
This will include exposure to any of the following methodologies:
- Derivatives Pricing models
- Market Risk/VaR models
- Counterparty Risk and CVA methodologies
- IMM and Risk-based margins
- Good Mathematical and numerical skills with excellent knowledge of quantitative finance topics like Geometric Brownian Motion, Stochastic Calculus, Partial Differential Equations, Monte Carlo simulation etc.
- Exposure to pricing models for interest rates derivatives including exotic and structured and hybrid products. For example Swaps, Caps/Floors, Swaptions, CMS, Autocallables etc.
- Exposure to VaR, Expected Shortfall, CVA, IMM and Risk-based margins and knowledge of regulatory initiatives such as FRTB, Libor transition would be beneficial
- Sound knowledge of standard tools and platforms used in the industry
- Ability to explain complicated concepts with ease to a wide range of audiences.
- Expert level programming skills in C++.
- Good communication skills, team-work and flexibility.