Job Title: Quantitative Analyst
Corporate Title: Vice President
Division: Risk
Location: London
Overview:
The Model Risk and Analytics team provides independent oversight and governance for senior managers of model analytics and their implementation into the risk architecture that drive valuation, risk and stress results. Model Validation is responsible for the independent review and analysis of all derivative pricing models used for valuation and risk across the Bank.
Key Responsibilities:
- Reviewing and analysing derivative models for price and risk of interest Rates, and Foreign Exchange (FX) products
- Using deep understanding of the mathematical models used, implementation methods, products traded in these markets, and the associated risks
- Completing theoretical analysis and reviewing it (where appropriate) that model/products are independently implemented in a managed C++ library
- Reviewing, analysing, and independently implementing will form the basis of discussion with key model stakeholders including Front Office Trading, Front Office Quants, Market Risk Managers, and Finance Controllers
- Actively engaging with the due diligence aspects of the New Product Approval Process and having involvement in Bank-wide strategic initiatives
Skills & Qualifications:
- Educated to Bachelor’s degree level or equivalent qualification/relevant work experience in a numerate subject, such as Mathematics, Financial Mathematics, Physics or Statistics, is beneficial
- Extensive experience in a Model Validation or Front Office Quant role
- Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms
- Deep understanding of interest Rates and FX derivative models
- Strong interest in financial markets (especially derivative pricing) demonstrated by qualifications and/or experience
- Experience coding in C++ in a managed codebase
- Excellent communication skills, both written and verbal
Our values define the working environment we strive to create – diverse, supportive and welcoming of different views. We embrace a culture reflecting a variety of perspectives, insights and backgrounds to drive innovation. We build talented and diverse teams to drive business results and encourage our people to develop to their full potential. Talk to us about flexible work arrangements and other initiatives we offer.
We promote good working relationships and encourage high standards of conduct and work performance. We welcome applications from talented people from all cultures, countries, races, genders, sexual orientations, disabilities, beliefs and generations and are committed to providing a working environment free from harassment, discrimination and retaliation.
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