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Model Review Analysts 
Grafton Recruitment Kft

Frissítve : 2015.01.10.
Jelentkezési határidő: 2015.01.11.
Hirdetés azonosító: 814995
lejárt
Model Review Analysts

(Budapest)

Pozícióleírás
For our prestigious multinational partner we are currently looking for a
Model Review Analyst.

The Model Review Group has global responsibility for the independent risk control, review and validation of models. These include pricing models for derivatives in all product areas (i.e. interest rates, currencies, equities, commodities, credit, and securitized products), as well as models used for counterparty credit risk (CVA), wealth management products, and capital and liquidity stress tests.

Responsibilities will include:

- review, test and independently implement pricing and/or stress test models
- produce written model review reports
- conduct on-demand analyses of model performance
- participate in the model control and model risk management processes of the Firm

Követelmények
- degree in Finance, Economics, Mathematics, Mathematical Finance, Physics, Engineering, or a related quantitative field
- 0-4 years relevant experience
- knowledge of financial markets and derivatives
- clear thinking, good business sense and judgment
- strong interpersonal and communication skills
- excellent command of English both written and oral
- experience with pricing models used for derivatives and securities, or with Basel capital and liquidity rules is a plus
- in-depth knowledge of mathematical finance, derivative pricing, option theory, and numerical/quantitative techniques for derivative valuation is a plus
- programming skills in a high-level language such as Matlab or Python; ability to program valuation/pricing models for derivatives is a plus

 

 

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