Accountancy & Finance JobsQuantitative Analyst | Donegal

  • SJ51045
  • Permanent
  • Donegal

Collins McNicholas

Our client is currently looking for a Quantitative Analyst to join their Modelling and Analytics team.

Responsibilities:

As a Quantitative Analyst, you will:

  • Support work which includes daily liability valuation of the hedged liability, capital projections, and refinement of an enterprise-wide capital framework.
  • Develop and maintain valuation and projection capabilities in support of ALM and risk management of insurance products

  • Benchmark performance and testing of new releases of asset and liability models

  • Support research and implementation of interest rate, equity, credit, foreign exchange, and inflation models used in the valuation of domestic and international products and ESG solutions across the company

  • Interface with CIO’s technology team to build market data and trade databases, and automate data feeds

  • Support analysis and research related to the implementation of hedging strategies

  • Implementation of C++ payoffs and features within asset and liability models

  • Expose various C++ modules into a Python-based interactive framework for modeling and back-testing

  • Performance benchmark testing on new releases on various hardware architectures including cloud-based CPU grids and GPU platforms

  • Develop and maintain Python-based regression testing modules for new features and into continuous build and integration framework (which utilizes Jenkins)

  • Support research and implementation of interest rate, equity, credit, foreign exchange, and inflation models used in the valuation of domestic and international products and ESG solutions across the company. This would involve historical back-testing and comparison with alternative models

  • Perform back-testing on various ALM analyses in support of capital, liquidity and asset allocation strategies.

  • Research and integrate machine learning methodologies using Google TensorFlow or similar tools to enhance and accelerate in-house analytics

Requirements:

  • Bachelor or above Degree in Maths, Sciences or Engineering.

  • Strong coding skills in Python required, C++ and CODA desirable.

  • Strong analytical skills with familiarity with financial mathematics and derivatives.

For a confidential discussion and more information on this Quantitative Analyst role, please contact Emma Cawley.
emma.cawley@collinsmcnicholas.ie
071-91-40258

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