Senior Quant Consultant

The successful applicant will be a member of the Expert Service unit of Acadia’s Quantitative Services division. The Expert Service unit is a team of renowned, highly experienced consultants that provides tailored quantitative consulting projects for international financial institutions. Our client base ranges from globally operating top tier Banks and Asset managers to smaller, highly specialized financial institutions.

We deliver consulting projects in all areas of derivative analytics e.g.:

• Development and implementation of derivative valuation systems, across all asset classes (mainly based on ORE, the Open Source Risk Engine, opensourcerisk.org and QuantLib (quantlib.org))
• Tailored upgrades of our client’s proprietary risk and validation libraries and systems
• Validation of FO pricing and risk models for e.g. Counterparty Credit Risk IMM, Market Risk IMA, Initial Margin Models (ISDA SIMM), Structured Credit valuation and risk models, third party/vendor systems, etc.
• Risk model development in Counterparty Credit Risk, Market Risk, Initial Margin calculation, integrated portfolio risk, etc.
• Current topics such as Ibor Replacement or CSA valuation

We also support our clients during regulatory audits and in model approval or remediation processes. Much of our analytical and implementation work is based on or supported by the Open Source Risk Engine (ORE) (opensourcerisk.org) a C++ based risk and valuation platform.The applicant will be part of a global consultant team with offices in UK, Ireland Germany and the US.

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