Quantitative Analyst

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Position Overview

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

• 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

• Seniority level
  
  Not Applicable

• Employment type
  
  Full-time

• Job function
  
  Research, Analyst, and Information Technology

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