Quants Analyst - London, United Kingdom - Mazars
Description
Due to the continued growth of our FS Risk Consulting Department, we are looking for a Quantitative Analyst to join the Quantitative Finance Team based in London.
You will mainly interact with banks but also insurance companies, large corporates and servicecompanies on a variety of projects.-
Job Role
Contribute in small and large-sized multidisciplinary engagement teams delivering quantitative finance projects for clients:
- Cross-asset derivative pricing including valuation adjustments (XVA). Calibration of models using best industry practices
- Model validation for small to large size clients, for quantitative risk management models such as (PD/LGD, VaR, Expected Shortfall, EPE/PFE)
- Implementation review of accounting standards such as FRTB, IFRS9, CECL
- Development of internal pricing libraries and tools (e.g. C/ECL, stress testing)
- Oversee summer internship projects
- Contribute to Mazars' regulatory watch activities by writing articles or providing technical content
- Support business development by preparing client proposals
- Help with administrative tasks (such as training and recruitment)
Person Specification
- Holds a 2.1 or above master's degree in a quantitative discipline e.g. mathematics, statistics, quantitative finance
- Advanced knowledge in derivative pricing, quantitative risk management (covering credit, market and counterparty risk), stochastic calculus, modelling, statistics and probabilities
- Strong significant experience either in derivative pricing, credit (PD and LGD modelling) and market (VaR, Expected Shortfall, FRTB) risk modelling
- Strong experience in either of Python, R or C++
- Ability to work in a team
- Desired experience/skills: model validation and machine learning
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