Quantitative Analyst

Reference

AM_084

Sector

IT & Digital

Salary

Competitive

Town/City

Letterkenny

Contract Type

Permanent

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MPA is working alongside a successful IT Firm to find a Quantitative Analyst to be part of their Modelling and Analytics team within their facility in the Northwest of Ireland. 

Responsibilities: 

The position will support work which includes daily liability valuation of the hedged liability, capital projections, and refinement of an enterprise-wide capital framework. 

Role description: 

  • 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 

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

Responsibilities may include the following: 

  • 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 utilises 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 

Qualifications, Skills & Experience:  

  • Bachelors or above Degree in Math, Sciences or Engineering 

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

  • Strong analytical skills 

  • Capable of working independently 

  • Familiarity with financial mathematics and derivatives desirable 

  • Familiarity with insurance products is desirable 

Other skills: 

  • This position requires an individual with the ability to work in a dynamic, fast-paced environment 

  • Ability to work remotely with teams in other locations and time zones as well as receiving actuarial support and guidance locally in Ireland 

I am keen to have an initial discussion with anyone who feels this could potentially be of interest. Please contact Andrew McSparran, at MPA Recruitment on +44 (0)28 7035 7035 or send an up to date CV via the link provided to speak further about this opportunity. 

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