Pricing Model Validation and Risk Development Quant

  • Competitive
  • Amsterdam, Noord-Holland, Netherlands
  • Contract, Full time
  • People in Computers (PiC)
  • 16 Sep 17

Exciting long term contract opportunity to become part of a global team within a leading Investment Bank, providing quantitative expertise required to model and risk manage complex derivatives.

Exciting long term contract opportunity to become part of a global team within a leading Investment Bank, providing quantitative expertise required for cross asset pricing model validation and risk model development on complex derivatives. 

This is an initial 12 months contract, with further room for extension due to work / project demands. You will be part of a global team of about 20 people which is responsible for pricing model validation, risk modelling and methodologies, and quantitative development.  

There is loads of exciting project work in either Market or Counterparty Credit Risk due to interesting volume of work. The key requirement being cross asset pricing model validation skills. 

Some of your key responsibilities will be:

  • Perform quantitative analysis on market data and risk functionality (such as VaR, Expected Shortfall, or sensitivity reports).
  • Act as a specialist within the Quant team regarding pricing model validation in product areas such as equity derivatives, fixed income derivatives, foreign exchange derivatives, credit derivatives, and CVA.
  • Liaise with counterpart quantitative analysts who develop the pricing models that the department validates.
  • Write validation reports providing a quantitative assessment and documentation of the tests performed.
  • Give general quantitative support to risk managers in their specialist area. 

 

You will need:

  • You must speak and write fluent English. This is required because the work is carried out entirely in the English language. Strong communication with excellent interpretation and presentation skills.
  • A university degree (PhD or MSc) in a quantitative field (econometrics, mathematics, physics or engineering);
  • Familiarity with financial markets, including recent, most important developments;
  • Knowledge of C++ and/or quantitative software packages (Matlab, Mathematica) is a plus;
  • 5 -7  year relevant work experience