Front office Pricing C++ Quant Modeller (Interest rates derivatives)

CRISIL LIMITED (An S&P Global Company)
Published
19th June 2020
Location
London, United Kingdom
Category
Job Type
Salary
Confidential
Preferred Academic Qualification
MSc, CQF, MFE
Recruiter/Employer Name
Irham K

Description

Title: Lead Quant (Rates)

Job Duties

  • The role will require 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.
  • The candidates are required to have sound knowledge and exposure to pricing models across different asset classes. This will include exposure to Rates models and Counterparty Risk and CVA methodologies
  • Experience in yield curves for swaps and bond pricing, multi-curve environment comprising cross currency curves and cheapest-to-deliver curves

Key responsibilities include: understanding business requirements, regulatory guidelines, cleaning/transforming data, determining appropriate modelling methodologies, model construction/testing, models implementation, integrating models into existing systems, model documentation and review.

Qualification

PhD – Mathematics / Physics / Engineering / Computational Finance or similar quantitative discipline or  Masters in Financial Engineering (MFE) with relevant experience can also apply

Skills Required

  • 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

 

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