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    Pricing Models - Paris, France - Millar Associates

    Millar Associates
    Millar Associates Paris, France

    il y a 2 semaines

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    Description

    Pricing Models & Risk Engine Quants, (VP), London

    Paris & London Ref: MREQ-0903 Up to £220k Total + Benefits & Pension Leading Global Investment Bank New Paris Quant Modelling Team: FX/Equity Derivatives Modelling, Risk Engines, IBOR Reform, SIMM , C++ or C#

    This global investment bank, seeks to hire several Quant Analyst to join their Front Office team supporting FX & Equity Hybrids and Rates trading. Depending upon your skills, you will be involved either in modelling & pricing of derivatives and tools (Equity/FX) or improving the Risk Systems and Risk Metrics (C++ & C#) or IBOR, SIMM modelling. Areas where we require your quantitative expertise are listed below. This is a great opportunity to work with some of the best quants in the industry and be directly involved with the business.

    5 years experience in one or more of the following areas:

  • Implement valuation models, tools & pricers into the quant library, including structured FX/IR, FX/Equity models and tools development
  • IBOR Benchmark reform, e.g. RFR cap/floor pricing or CMS Fallback.
  • Improvement of Risk systems and tools (C#) and the Risk engines code base
  • Development of models, pricing tools and their system integration with a focus on Equity and FX asset classes.
  • Provide modelling support for FRTB/SIMM/VaR systems and quant solutions for the computation of those regulatory metrics
  • Provide support to the trading desk and risk management
  • Improve the client tools and be involved in next generation of tools

    • Experience & Skills per role:

  • Advanced development skills (C++ or C#) from implementation and support of models
  • Implementation of valuation models, tools & pricers into a Quant library or Risk engine
  • For the Equity/FX role, experience in developing at least one model from scratch for production
  • For the SIMM role, strong knowledge of Interest Rate models
  • Proven ability to provide support to the trading desk and risk management
  • Experience in calibration of Stoch & Local Vol models
  • PhD or Masters educated in a scientific field
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