Job Responsibilities:
- Develop and implement new Pricing model in existing FO library
- Review new pricing codes, covering consistency checks, the verification of P&L explanations and validating the numerical methods used.
- Build out and enhance the pre-existing quantitative models through developing alternative modelling tools that follow set objectives and documented approaches, benchmarking of results with the validated model, error tapping and recovery.
- Performing detailed quantitative analysis to assess model performance through analysing model outputs (benchmarking, sensitivity analysis, limiting case testing).
- Communicating model review findings and recommendations to the front office traders, tech teams and model developers.
- Responsible for ongoing monitoring of internal models
Qualifications
- PhD or a Masters degree in Quantitative Finance, Mathematics, Physics, or other science disciplines.
- Experience working in capital markets, focusing on the Pricing of derivatives, model risk, validation, model development or testing pricing models and knowledge of financial products i.e. FX/FI/IR/Cross-currency swaps.
- Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation techniques
- Strong analytic and problem-solving skills.
- Experience using C++, C#, Python Matlab, R, Quic, Summit and/or NumeriX.
- Strong inter-personal and communication skills, with the ability to apply it to all levels and functions.
