Manager/ Associate Director - USA, United Kingdom - Anson McCade Ltd - IT and Finance Recruitment

Anson McCade Ltd - IT and Finance Recruitment

Verified Company

USA, United Kingdom

2 weeks ago

Posted by:

Tom O´Connor

beBee Recruiter

Description

**Role: Manager/Associate Director

Location:
New York

Salary:
$155, % variable bonus (DOE)

Experience: 10+ years, C++, Java, C#, Python**The largest and top-ranked provider of high end research and analytics services to the world's leading commercial and investment banks, insurance companies, corporations, consulting firms, private equity firms and asset management firms.

They operate fromresearch centres in Argentina, China, India and Poland, providing research support across several time zones and in multiple languages to global organizations.

It has deep expertise in the areas of equity and fixed income research (covering global economies,150 global sectors and over 3000 global companies), credit analysis, exotic derivatives valuation, structured finance, risk modelling and management, actuarial analysis and business intelligence.

The Business:

The company have been driving the financial stability for economies and communities worldwide for more than 30 years, enabling enterprises to fund innovation, manage risk and create job opportunities through sustainable growth.

Bringing a modern & tech firstapproach, the Team utilise innovative technologies across two core verticals; Data & Analytics and Capital Markets Insights & Research.

You will be joining a high performing team of highly motivated technologist and industry SME's, with a community feel atits core.

This unique proposition make for a truly exceptional career opportunity with the London office aiming to triple its headcount over the next 12 months.

The Role:

You will work on the derivatives pricing modelling that may involve:

Design, development and implementation of various types of tests to assess performance and stability of the corresponding pricing model
Establish solid understanding of the model's mechanism including product use, payoff function, theoretical fundamentals and mathematical formula in use
Review model assumptions/limitations and conceptual soundness
Build and perform test cases for calibration, benchmarking, lifecycle events, back testing, stress/scenario/sensitivity analysis, boundary conditions, convergence
Document testing objectives, results and conclusions related to model's input/data, assumptions/limitations, methodology, development and implementation procedures
Provide justification for the selected modelling approach based on the overall test result
Documentation of the model development, testing and validation procedures

Skills Required:

Experience in C++/Java/C#/Python/R or other Object-Oriented Programming language. Experience
Strong knowledge of derivative pricing, stochastic calculus, Monte Carlo simulations, numerical methods
Solid understanding of risk drivers, Greeks of derivative products, volatility skew/surface structure, interest short/forward rate model dynamics
Experience in Model Risk Management process in the setting of global banks/financial institutions especially Model Development and Independent Model Review/Validation
Strong communication and documentation skills

Benefits Package: