Retail Bank currently seeking an ALM Quant Analyst contractor to support model design and implementation of their RM system across Banking Divisions for use in Asset & Liability Management. Experience of Market Risk, Modelling, Pricing, constructing hedges and Price Hedge Optionality a prerequisite.
The purpose of the role is to support model design and implementation. Successful candidate will have relevant experience arising in ALM / product development / product control / ALM or structuring; will be fully proficient with the range of market instruments for hedging and be able to construct hedges using variety of instruments to remove risk. Stakeholder Management is important, as your function will include working with key stakeholder and influencing Divisional Heads of ALM, Divisional ALCO members and Strategic ALM Steering Group.
Technical Skills:
- Ability to price (from first principles) interest rate swaps, caps, floors, and swaptions
- Full understanding of factors affecting option prices
- Expert understanding of pipeline risk, prepayment risk, option adjusted spread methodologies
- Expert understanding of NII simulation, Market Value, Earnings at Risk, Value at Risk and the application of stochastic processes, including Monte Carlo analysis of interest rates and other indices
- Strong discipline and experience of model development, validation and documentation
Experience & Qualifications:
- Degree should be in a Financial/Mathematics/Economics or related subject.
Salary: up to 80k GBP
Location: London
For more information please contact Irina Nour on +44 (0)20 7887 4592 or email at inour@saulpartners.com.
Comments on this entry are closed.