Quantitative Risk Modeller - Derivatives Valuation - Consulting Firm - Contractual (5-15 yrs)

At Outsized, we match clients in financial services and management consulting to high-quality independent consultants and boutique/specialist firms for the execution of their key projects.

Our client, a global consulting firm, is working with an Asset Management Company (AMC) and is seeking a highly skilled Quantitative Risk Modeller with a strong background in financial derivatives valuation. The ideal candidate will have experience working with advanced modelling techniques, including Monte Carlo simulations and CFAR (Cash Flow at Risk), and will play a pivotal role in monitoring risks, cash flows, and complex derivative products.

This role provides an excellent opportunity to work in a dynamic and innovative environment within the asset management industry.

Key Responsibilities:

Derivatives Valuation and Modelling

- Develop and implement valuation models for complex derivative products.

- Utilize Monte Carlo simulation and CFAR (Cash Flow at Risk)techniques to analyze and model financial instruments.

- Collaborate with stakeholders to ensure accurate pricing and risk assessment of derivatives.

Risk Monitoring and Reporting

- Oversee day-to-day monitoring of financial risks associated with derivative portfolios.

- Track and analyze cash flows to identify potential risks and discrepancies.

- Generate comprehensive risk reports to support decision-making processes.

Data Analysis and Optimization

- Extract, process, and analyze large datasets to derive actionable insights.

- Ensure data quality and consistency in modelling and reporting.

- Contribute to the optimization of existing modelling frameworks and tools.

Qualifications

- Educational Background: Degree in Quantitative Finance, Mathematics, Statistics, or related fields..

Experience:

- 5+ years of experience in derivatives valuation and quantitative modelling.

- Proven expertise in Monte Carlo simulations and CFAR-related modelling techniques.

- Prior experience with asset management firms or financial institutions is highly desirable.

Technical Skills:

- Proficiency in programming languages such as Python, R, or MATLAB.

- Strong understanding of financial derivatives, risk management practices, and valuation methodologies.

Soft Skills:

- Excellent analytical and problem-solving abilities.

- Strong communication skills to present findings effectively to stakeholders.

- Ability to work in a fast-paced and collaborative environment.

This is a contractual role with an initial duration of 6 months. This role is based in Dubai, UAE.