Old Montreal, Canada Posted on 06 / 16 / 2024
Upskills provides expert financial software consulting for investment banks and leading financial institutions in Asia Pacific, Middle East and Europe region.
With a strong, Front to Back expertise of cash and derivatives markets, coupled by an in-depth knowledge of financial markets technologies, we provide smart, business-wise, and efficient solutions.
We are seeking highly skilled Quantitative Financial Analyst with in-depth expertise in MACS Models, rate curve constructions, and financial valuation methodologies.
The ideal candidate will play a key role in the design, implementation, and validation of quantitative models for financial instruments across various asset classes.
Key Responsibilities :
Demonstrated proficiency in MACS Models such as LMM / FMM 1 / 2F, HW1F, CEV, Dupire, TSR Replications, and native models.
Ability to apply these models effectively in financial valuation and risk analysis.
- Ability to construct robust rate curves tailored to specific financial instruments and market conditions.
- Design and implementation of quantitative models for the valuation of financial instruments, including bonds and derivatives with embedded options in interest rates, FX, and / or equity indices.
- Contribute to the verification of new financial models by selecting appropriate valuation frameworks, identifying market data requirements, conducting thorough risk analyses, and preparing comprehensive documentation to support validation and verification processes.
Requirements
- Master’s or PhD in Quantitative Finance, Mathematics, Statistics, or a related field.
- Proven experience in quantitative financial analysis and modeling within the banking or financial services industry.
- Strong programming skills in languages such as Python, R, MATLAB, or C++.
- Experience with financial modeling libraries and tools (e.g., Bloomberg, Numerix, QuantLib).
- Knowledge of regulatory requirements related to financial modeling and valuation.
- Ability to adapt quickly to changing market conditions and evolving quantitative techniques
- Excellent analytical skills and attention to detail.
- Effective communication skills with the ability to collaborate across teams and present findings to stakeholders.
Skill set
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