Quant Analyst
Location :
London
Job Type :
Full-time
Key Responsibilities
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
Job Descripition
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
Support business development by preparing client proposals
Help with administrative tasks (such as training and recruitment)
About Company
We set out to build the world’s most trusted consulting firm – creating lasting impact for clients and pioneering a positive, people-first way of working. We work with everyone from FTSE 100 names to bright new start-ups, in every sector.
You’ll find us collaborating shoulder-to-shoulder with our clients, from the big picture right down to the detail: helping them define their strategy, deliver complex change, spot the right commercial opportunities, manage risk, or bring their purpose and sustainability goals to life. Our clients love how we get to know what makes their organisations tick – slotting seamlessly into their teams and being proudly geeky about solving their challenges.
As a Certified B Corporation®, we've proven that we've built social and environmental good into every bit of what we do.
We have hubs in Europe, the US, Asia and Australia, and we work all around the world - from a wind farm in Wyoming to a boardroom in Berlin. Find us wherever there's a challenge to be tackled and an impact to be made.