Quantitative Analyst, South Africa

• Company

  ITS-City Ltd

• Location

  South Africa-Johannesburg

• Remuneration

  Negotiable + Bonus

• Position Type

  Permanent

• Employment type

  Full time

• Updated

  20-May-2013

• eFC Ref no

  1159976

You will have a Masters or PhD in Financial Mathematics or Quantitative subjectss along with 3-7 years industry experience having worked their way in a valuations control or middle office role with a top tier Investment Bank.

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. Rates, FX, Commodities, Equities, Credit)

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.

An ideal candidate should be familiar with new derivatives valuation techniques like OIS/CSA Aware Discounting, Credit Valuation Adjustment (CVA) etc…

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