Lead Quant (Rates)
HAYS POLAND Sp. z o.o.
Wroclaw
1 d. temu
source : Jobs.pl

Your new company

For our client, international company located all over the World, we are looking for a Lead Quant to join the team located in Paris and London.

Relocation to London or Paris is obligatory after coronavirus situation.

Your new role

This role will require working closely with the model development team of a large global banking institution. You will be responsible for 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 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 is required.

Key responsibilities for this role are 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.

What you'll need to succeed

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 (e.g. 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++.

What you'll get in return

Relocation to Paris or London, depending on client and candidate decision, package of benefits such as private healthcare, 24 paid leave days, pension, rellocation allowance, coverage of flights from Poland to Paris / London, salary advance if required.

What you need to do now

If you're interested in this role, click 'apply now' to forward an up-to-date copy of your CV, or call us now.

If this job isn't quite right for you but you are looking for a new position, please contact us for a confidential discussion on your career.

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