Quantitative Analyst - Pricing Validation

  • Negotiable
  • Londres, Angleterre, Royaume-Uni
  • CDI, Plein-temps
  • Randstad Financial & Professional
  • 10 août 17

An opportunity has arisen for an experienced Quantitative Analyst to join our client, a leading Investment Bank based in London. The successful candidate will work within the Pricing Model validation and be responsible for the validation of Front Office pricing models before use as well as continuous revalidation tests for existing models. The products involved span different asset classes, from interest rates to FX and equities, including hybrids.

An opportunity has arisen for an experienced Quantitative Analyst to join our client, a leading Investment Bank based in London.

The successful candidate will work within the Pricing Model validation and be responsible for the validation of Front Office pricing models before use as well as continuous revalidation tests for existing models. The products involved span different asset classes, from interest rates to FX and equities, including hybrids.

The pricing models used by the firm for valuation are either from external vendor systems such as Murex or from in-house exotics libraries. The firm has also recently upgraded its risk system which runs in parallel to the valuation systems with its own full repricing engine based on MarkIt Analytics. The role will review pricing models across all three of these strategic pricing engines and review both valuations and the risk output.

The Quantitative Analyst will be responsible for:
*Implementation of derivative pricing model from first principles where necessary, in order to challenge and compare to production or proposed models
*Fundamentally challenge concepts and assumptions used in existing models or models that are proposed for use
*Prepare reports that summarise outcome of work in a clear and well-structured way
*Interface and modify existing systems to generate ongoing model performance checks
*Prepare summary reporting for working groups and committees that review model performance
*Testing system changes
*Investigating issues
*Proactively contributing to wider Risk function initiatives and projects

As such, the successful Quantitative Analyst will have the following skills and experience:

Required
*Solid quantitative skills (computer science or maths/statistics or finance higher education at MSc level or above)
*Understanding of financial markets and products including derivatives
*Familiarity with principles of pricing derivatives
*Programming (C# or C++) highly desirable

Desirable
*Some experience of working in a financial organisation in a related role
*Deeper knowledge of derivative pricing approaches and issues

If you have relevant experience, fit the above criteria and are looking for an exciting, rewarding and challenging role, at a well respected global investment bank, please apply today by sending an updated copy of your CV

Randstad Financial & Professional encourage applications from individuals of all ages & backgrounds. Appointment will be made on merit alone but candidates must be able to demonstrate their ability to work in the UK. Randstad Financial & Professional acts as an employment agency for permanent recruitment & an employment business for temporary recruitment as defined by the Conduct of Employment Agencies & Employment Business Regulations 2003