Analyst - Derivative Pricing - Accounting/Analytics Firm - CFA

Derivative Pricing Analyst

Job Descrption:

- Validation of pricing models of derivatives products across all asset classes such as FX, rates, commodities, inflation, credit derivatives including exotic hybrid structures.

- Provide quantitative support to front and middle office across all trading desks with respect to valuations and modelling.

- Knowledge of yield curve methodologies and calibration of rate and credit curves.

- Programming experience with object orientated languages, e.g., Python/C++/R/C#.

- Validation of components XVAs for structured deals.

- Provide information to Market Risk, as well as base validations of trades to the accounting systems and downstream feeds to various other internal systems.

- Validation of calibration parameters for the various components under different stochastic processes.

- Experience with regulatory models for market risk, initial margin etc.

- Relevant experience of 3-10 years.

- Candidate should display knowledge of derivative instruments, pricing, and valuation as well as risk profiles.

- Model implementations using regression methods, Monte Carlo simulation, tree method and PDE approaches.

- Knowledge of quantitative risk management models, stochastic calculus, statistics, and numerical resolution methods.

- A CQF/CFA/FRM/BTRM qualification would be an advantage.