Quantitative Analyst - KA11 4HN | Zoek UK
KA11 4HN, Dreghorn
£60000 - £70000 per annum
Quantitative Analyst - £60,000 - £70,000
City based Investment Bank are looking to recruit 2 Quantitative Analysts/Associates to join their expanding Treasury Analytics department. In this position, you'll perform a variety of highly technical tasks pertaining to the valuation and risk management of derivatives and complex financial products. This includes providing quantitative analysis as well as designing, implementing and maintaining pricing tools and libraries developed in C++.
The Treasury Quantitative Analytics team are responsible for all quantitative requirements of Treasury. These requirements include the design, validation, implementation and maintenance of pricing models for various types of derivative and structured products, portfolio management tools and risk management tools.
The Associate, Quantitative Analysis, undertakes the following responsibilities and activities:
- Under direction of the Associate Director, contributes to the design and implementation of coding solutions.
- Works closely with Treasury portfolio managers and traders to analyse proposed new types of instruments/trades and recommends appropriate modelling and pricing methodology.
- Helps design and implement pricing and analytical tools in a mathematically sound way. This includes the modelling of interest rates, foreign exchange, commodities, equities, credit and inflation, either as standalone asset classes or as hybrids (. long term IR+FX model).
- Develops, maintains and enhances own developed applications, within an existing framework, for use by the Treasury department.
- Develops, maintains and enhances pricing templates in existing third-party valuation systems for complex products to feed valuations to Front, Middle and Back Office.
- Assists in providing an independent and technical advice and influence on all quantitative issues. This includes assessing internal and external pricing and risk management systems, upon request.
- Takes ownership of activities on team work plan and delivers to agreed timelines.
- Proactively supports other team members on project activities as required.
- Maintains knowledge of latest developments and techniques in the Quant world as well as IT technologies.
To be considered for these positions, ideal candidates must have the following experience/skills;
- MSc in finance or sciences, or equivalent experience
Demonstrated experience working in Financial Services
- Strong quantitative skills in financial modelling, including stochastic calculus, numerical methods and application of the options theory.
- Good understanding of financial instruments in general and in particular interest rates, foreign exchange, equity and credit derivatives.
- Good understanding of risk management and portfolio valuation techniques (. VaR, sensitivities, CVA/DVA, FVA).
- Proficient in C++, Excel, VBA, databases, Json, SQL, Matlab, SVN.
- Knowledge of Summit, QuiC and/or NumeriX.
- Ability to communicate well with all levels of the business community, from senior management to portfolio managers/traders, risk managers, accountants, middle office and IT staff.
- A methodical and practical approach to problem solving and troubleshooting.
- Demonstrated experience contributing to and delivering projects as part of a team
Posted 14 days ago