Post : Quantitative Analyst, Poland

   Salary:  Market rate + Bonus
    Location: Kraków < Malopolskie < Poland
    Job Type: Permanent, Full time
    Company:  ITS-City Ltd
    Posted on: 20 Jan 14

Top-tier Investment Bank are looking to hire an A/D, AVP to VP IPV Valuations Quant Analyst Professional with strong Derivatives Pricing experience.

The position involves the Calculation and implementation of fair value adjustments of the Trading Positions, especially price testing, bid offer and model risk adjustments, across all desks or product/asset class (i.e. IR, FX, Commodities, Equities, Credit). They undertake Model Reserve Methodology / Model Control.

The client needs someone with pactical model problem solving experience, not just theoretical. you will be challenging the front office mentality so need to be a strong communicator

You will be facing-off with the trading desk, providing alternative valuation methodologies when parameters aren’t observable and performing stress testing to quantify uncertainty ranges, reviewing IPV methodology and implementing improvements and efficiencies.

Detailed analysis of the calibration and re-calibration of pricing models, reserving, fair value principles. They need someone who can not only run a process put understand the nuts and bolts of a model.

You will have a Masters, DEA or PhD (or CQF) in Financial Mathematics or Quantitative subject along with 2-5 years industry experience having worked their way in a valuations control, front office, model validation or middle office role with a top tier Investment Bank (i.e. Model Risk, Model Validation).

An ideal candidate should be familiar with new derivatives valuation techniques like OIS/CSA Aware Discounting, Credit Valuation Adjustment (CVA) etc…Familiarity with derivative instruments (fixed income options & IR derivatives, FX and credit derivatives / exotics. Background in IPV or Interest Rates Trading preferred. Pricing sources & methods experience useful.

The client offers extensive contact with the business and the chance to learn highly exotic trades

Contact I.T.S City

To talk directly with us to discuss this vacancy and the client, please contact Gary Williams on:

Email: gary@its-city.com

Direct Line: +44 (0) 203 176 6646