Risk Quantitative Analyst – CDS / Initial Margin – Consultancy. A consultancy are working on improving initial margin models for CDS products in the clearing space and have a short term assignment for a risk quantitative analyst to help document the models and methodologies. This will include analysing VaR, default risk and liquidation risk models.
You should apply for this role if you are/have:
- 5+ years quantitative analysis experience within global financial markets
- Strong credit derivatives in particular CDS experience
- Proven experience within initial margin models in a clearing context
- Strong C++ experience in a GPU environment
- MSc or preferably PhD educated or higher from a leading academic institution
This is a £650-£700/day role for 2.5 months outside IR35.