Head Structured Finance CDO Quantitative Manager required at this Market Leading Financial Services Giant.
Head Structured Finance CDO Quantitative Manager required at this Market Leading Financial Services Giant. You will be responsible for managing a CDO's quantitative team, delivering comprehensive daily support and new research development. You will evaluate complex structures including CDOs, CPDO, CPPI, LSS, SIVs etc. You possess strong quantitative modeling skills to assess the impact of market credit, liquidity and operational risk factors. The key focus will be on leading a team to develop and calibrate risk models and support business units in the application of the models to specific transactions. Naturally you will possess excellent CDO's and related credit derivatives, mortgages (ABS, CMBS, RMBS) and real estate experience as well as Monte Carlo Simulation for risk assessment and derivatives pricing, credit modeling including default, correlation, transition and recovery, regression analysis, parameter estimation methods, optimization and general numerical methods. You must be educated to degree level in either Financial Engineering or Quantitative Finance or a closely related discipline. Ph.D, DEA or equivalent research experience, significant experience in quantitative financial research, model development and model validation. Expert quantitative financial knowledge in the areas of credit spread modeling, default modelling credit portfolio risk modeling, cashflow modelling, stochastic interest rate modeling and prepayment modeling required. You will have in depth knowledge of structured financial instruments (CDO, CMBS, ABS, RMBS) plus solid programming skills in MATLAB and C++ ideally. To apply for this exceptionally challenging and highly rewarding position, which will suit a Senior Quant Analyst with diverse managerial skills and great strategic vision, submit your CV now.
