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Quantitative Analyst

Lokáció Budapest
Iparág
Állás típusa Teljes munkaidős
Elérhető 6 hónapja
Referencia szám 35054

Pozícióleírás megtekintése

Our client has a significant role in the banking sector all over the world. On behalf of them we are seeking a person for the position:
Quantitative Analyst
For the following tasks:

  • Design and implementation of pricing and hedging models for derivatives and physical transactions.
  • Development and maintenance of the in-house C++ pricing libraries
  • Producing model documentation
  • Advancing the quantitative toolbox by developing new technologies, algorithms and numerical techniques
  • Work on general efficiency improvement and optimization of the analytical library
  • Work on Regulatory and Governance based projects across a range of the asset classes

Requirements

  • MSc / PhD Degree in Mathematics, Physics, Engineering, Finance or Economics
  • Fundamental knowledge of C++ and Matlab
  • Outstanding mathematical finance and statistical analysis skills
  • Knowledge of probability and stochastic calculus
  • Familiarity with Numerical analysis/Monte-Carlo methods
  • Excellent verbal and written English

Advantage:
  • Proven track record of development and support pricing and risk models in an analytics library such as Rates, Credit, Equities, Commodities
  • Previous experience working on Regulatory based projects such as Model Risk, Basel III, Stress Testing, CCAR, PAA

Benefits

  • Multinational environment
  • Competitive salary
  • Opportunity to improve

Other notes

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IT and Telecommunications | Infrastructure engineering | Manager | Security | IS/IT fejlesztő