x*******a
发帖数: 80 | 1 【 以下文字转载自 JobHunting 讨论区 】
发信人: xiaoniuma (小牛牛), 信区: JobHunting
标 题: 攒人品，有三个mid-office quant positions (2 equities, 1 credit)
发信站: BBS 未名空间站 (Fri Oct 22 11:05:36 2010, 美东)
地点在伦敦，感兴趣的可以给我发站内消息。
2 equities positions有一个entry level,和一个1-2年工作经验的。
credit position是entry level. | x*******a
发帖数: 80 | 2 job description from the credit role:
Description: We are a multi-national, middle-office, financial derivatives
team of 25 people based in three locations world-wide. The team covers all
aspects of model validation, model-related issues in trade approvals and
reserves for interest rates, equity, FX and credit products, assessment of
the impact of models on valuation, market, and credit risks. Together with
other teams, it also develops methodologies for aggregating market, credit
and operational risks, to provide bank-wide risk analysis for senior
management.
We are looking for a quantitative risk analyst to join our team in London
predominantly covering Credit derivatives and ABS products.
Primary areas of responsibility are
1. Validate models to detect, identify, and quantify risks in the area of
marking-to-market and risk management of model intensive products. Perform
product certification and approval of single trades. This involves, among
others:
- Reviewing new products with special emphasis on valuation and risk
management.
- Detecting misunderstood and/or understated risks.
- Identifying mis-specified models, i.e. mathematically correct models which
are not applicable to the given product and/or market.
- Highlighting the potential of use of wrong or inconsistent input values
for parameters, which are not readily quoted in the market (e.g., skew,
correlation, etc.).
- Identifying unnoticed market changes (e.g., new traded products) which
affect current valuation/risk management methods.
- Identifying the use of mathematically flawed models, quantifying errors,
and proposing more adequate solution.
2. Assist business unit control with the valuation of model-intensive trades
and quantitative issues, in particular to specify valuation adjustments
intended to capture model or parameter uncertainty.
3. Perform general risk management functions in close co-operation with
market risk: Assessment of positions with significant model risk or non-
standard risks (e.g., correlation risk or volatility skew risk), business
approvals for complex structures and other day-to-day activities.
Most projects contribute towards bank-wide standards for managing all risks
associated with investment banking. The impact of results can be substantial
depending on the quality of results, which are routinely passed on to
senior management.
Requirements - Strong background in financial mathematics
- Knowledge of financial markets/products and proven experience in a similar
role
- Ability to develop models in a timely manner, using innovation and common
sense
- Familiarity with C++ , Java, or Visual Basic
- Masters degree in a quantitative discipline (mathematics/physics) is a
prerequisite, PhD is highly desirable.
- Excellent written and interpersonal communication skills are critical. In
particular, the ability to explain technical topics to a non-technical
audience (e.g., explain how a certain model works without using equations)
- Organized, detail-oriented, self-motivated and respond well under pressure.
- Ability to work in a team, adhere to tight deadlines, develop and maintain
relationships | x*******a
发帖数: 80 | 3 忘了说，还有一个rates的职位，在纽约附近
Description We are a multi-national, middle-office, financial derivatives
team of 25 people based in three locations worldwide. The team covers all
aspects of model validation, model-related issues in trade approvals and
reserves for interest rates, equity, FX and credit products, assessment of
the impact of models on valuation, market, and credit risks. Together with
other teams, we also develop methodologies for aggregating market, credit
and operational risks to provide bank-wide risk analysis for senior
management.
Scope of the Role
We are looking for a Quantitative Risk Analyst to join our team. The person
will be predominantly covering Interest Rates derivatives, but will have
exposure to other product groups as well.
Primary areas of responsibility are
1. Validate models to detect, identify and quantify risks in the areas of
marking-to-market and risk management of model intensive products. Perform
product certification and approval of single trades. This involves, among
others:
- Identifying inadequate models, i.e. mathematically correct models which
are not applicable to the given product and / or market; proposing more
adequate solutions.
- Identifying the use of mathematically flawed models, quantifying errors.
- Detecting misunderstood and/or understated risks.
- Highlighting the potential of use of wrong or inconsistent input values
for parameters, which are not readily quoted in the market (e.g. skew or
correlation).
- Reviewing new products with special emphasis on valuation and risk
management.
- Identifying unnoticed market changes (e.g. new traded products) which
affect current valuation / risk management methods.
2. Assist business unit control with the valuation of model-intensive trades
and quantitative issues, in particular to specify valuation adjustments or
model reserves intended to capture model or parameter uncertainty or other
model deficiencies.
3. Perform general risk management functions in close cooperation with
market risk including:
- Assessment of positions with significant model risk or non-standard risks
(e.g. correlation risk or volatility skew risk)
- Business approvals for complex structures.
- Other day-to-day activities.
Impact of role
Most projects contribute towards bank-wide standards for managing all risks
associated with investment banking. The results can have substantial impact
and are routinely passed on to senior management.
Requirements Bachelor's Degree or International Equivalent
2-3 years experience in a similar role
Masters degree in a quantitative discipline (mathematics/physics)
Preferred Qualifications PhD in a quantitative discipline
Strong background in financial mathematics including knowledge of interest
rates modelling
Knowledge of financial markets/products and 2-3 years experience in a
similar role
Ability to develop models in a timely manner, using innovation and common
sense
Familiarity with C++, working knowledge of Visual Basic
Excellent written and interpersonal communication skills are critical. In
particular, the ability to deliver technical information to a non-technical
audience (e.g. explain how a certain model works, without using equations).
Organized, detail-oriented, self-motivated and respond well under pressure.
Ability to work in a team, adhere to tight deadlines, develop and maintain
relationships.
Enthusiasm and adaptability. |
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