Description

You will develop and implement complex quantitative models for OTC derivatives risk management.

This role is remote.

Responsibilities

• Implement market and credit risk quantitative models for OTC derivatives.
• Develop pricing models using Black-Scholes and Hull-White frameworks.
• Build and execute Monte Carlo simulations and risk model back-testing.
• Write technical documentation and communicate complex mathematical concepts clearly.

Required Skills

• Master's or PhD in a quantitative field.
• 3-5 years of relevant experience in quantitative development.
• Proficiency in Python and C++.
• Strong theoretical foundation in mathematics and statistics.
• Experience with derivatives pricing models.
• Experience with Monte Carlo simulation techniques.
• Experience with risk model back-testing.
• Experience using mathematical and statistical software packages.

Preferred Skills

• Experience in credit risk modelling and concepts like PFE, CSA, MPOR, and collateral (IM/VM).
• Experience with Monte Carlo simulation of long-time horizons.

Key Skills

Education

Any Graduate