Our client is an award-winning fintech company that provides services and solutions to corporate clients on a global scale, present in over 26 countries with a network that spans over 700 clients and 90 partners.
Our mission is to upend existing technologies and business processes via leading-edge technology, to give clients a strategic advantage in their markets and enable them to make profoundly profitable shifts in business strategy. It is our goal to push boundaries to create breakthrough technology that digitalizes business processes and helps clients reimagine their risk.
As a team:
We are an unconventional, diverse and supportive team happy to help you to learn, grow, and advance in an innovative culture that embraces your individuality. As part of our team, you will be challenged and rewarded while surrounded by highly driven and passionate people.
AMERICAS: New York (HQ), Chicago, Los Angeles, Miami, Santa Fe, Vancouver
EMEA: London, Dublin, Frankfurt, Milan, Paris
APAC: Hong Kong, Singapore, Mumbai, Seoul, Taipei City, Tokyo
As a Senior Financial Engineer, you will:
Structure real-world examples of trades and perform valuation and/or risk analytics tasks using company CrossAsset library and other company Products and tools
Write Requirements Definition (RD) and Product Specifications for Analytics and Risk across multiple asset classes such as IR/CC/INF/CR/EQ/FX/CMDT/HYBRID
Work as liaison between Customers and Internal teams (Sales, Business Analyst, PDM, Quantitative Research, Quantitative Development, Implementation, Support, Training, Documentation, QA)
Participate in pre-sales and projects involving the entire stack of company products
Design and perform FE testing on models (calibration and pricing) and risks across multiple asset classes on various company products
Provide consulting and professional services for clients using company products for integrated/independent pricing and risk analytics system
We are looking for experience in the following skills:
5-7 years of hands-on working experience in derivative pricing models and instruments across interest rate, cross-currency, credit, inflation, equity, foreign exchange, commodity, insurance, and hybrid products
5-7 years of hands-on working experience in counterparty credit risk, such as AMC, CVA, DVA, BCVA, FVA, PFE, EPE, EEPE, incremental CVA, collateral, netting, CSA, CVA VaR, PD, EAD, credit models, Basel III, Economic Capital, CCAR) and/or market risk (such as VaR methodologies (parametric, historical, and Monte Carlo), incremental VaR, marginal VaR, stressed VaR, back testing, Basel II, scenario generation, PCA, Volatility forecasting
Strong Derivatives pricing knowledge. Cross-asset or Economic Scenario Generation (real world and risk neutral) experience is a plus
Strong mathematical skills including stochastic calculus, numerical methods (Tree, PDE), Monte Carlo simulation, probability and statistics, linear algebra, time series analysis, or actuarial analysis; and financial modelling, or quantitative/engineering related research
5-7 years of hands-on working experience with Excel and VBA. Knowledge of programming languages like Python/ C++/ C#/ Java preferred
Self-motivated and quick-learning professional able to address complex technical challenges and produce high quality solutions in an efficient and timely manner
German speaker preferred, but not mandatory
MSc or PhD in Mathematics, Financial Engineering, Finance, Econometrics, Statistics, Computer Science, Physics, Actuarial Science, or related field
Professional certifications a plus
Aegis UK is committed to equality of opportunity for all staff and applications from all individuals are encouraged.