This role is for one of the Weekday's clients
The primary goal of this role is to contribute to the development of models utilized in the CCR Monte Carlo engine for risk factor simulation, derivatives pricing, collateral handling, and exposure calculation. This encompasses all counterparties of the bank and spans across all asset classes. The successful candidate will be responsible for leading multiple projects, acting as the main point of contact, and overseeing all aspects of the model development process. This includes research, model documentation, prototyping, implementation, code review, testing, and library release. This role demands exceptional modeling and programming skills.
Key Accountabilities
- Develop models for Monte Carlo simulation, derivatives pricing, collateral handling, and exposure calculation for Counterparty Risk.
- Enhance existing CCR models and methodologies.
- Document and test models.
- Develop quantitative library functionalities for counterparty risk.
Person Specification
- Strong attention to detail and accuracy.
- Ability to communicate technical topics to a non-specialist audience.
- Effective time management.
- Knowledge of financial models.
Essential Skills/Basic Qualifications
Qualification / Education Required:
- Master's degree in Computer Science, Mathematics, Physics, or another scientific discipline from a top university.
Skills / Experience Required
- Strong analytical and numerical skills.
- Excellent problem-solving abilities.
- Experience with Monte Carlo simulation, relevant modeling, and statistical knowledge.
- Proficiency in C++ and Python with strong algorithmic design and reasoning skills.
Desirable Skills/Preferred Qualifications
- Experience developing in large-scale libraries and understanding of the development lifecycle.
Skills: monte carlo simulation,statics,quantitative analytics
