Job Title: Quantitative Analyst
Corporate Title: Assistant Vice President
Opening Date: 06/06/2019
Closing Date: 05/07/2019
You'll be joining the Model Risk & Analytics team, which 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, as part of Global Markets Valuation Group, is responsible for the independent review and analysis of all derivative pricing models used for valuation/risk across the Bank.
- Independently reviewing and analysing derivative models for price and risk of interest Rates, and Foreign Exchange (FX) products
- Analysing theoretical data and reviewing that model/products are independently implemented in a managed C++ library
- Liaising with key model stakeholders including: Front Office Trading; Front Office Quants; Market Risk Managers
- Engaging with the due diligence aspects of the New Product Approval Process and involvement in Bank wide strategic initiatives
- Providing oversight and govenance for senior manager of model analytics and their implementation into risk architecture
- Reviewing and analysing mathematical models used in implementation methods and products traded in these markets
- Implementing advanced Interest Rates models in C++ library
- Demonstrating fluency on Stochastic Calculus, Ito's lemma, Girsanov measure change theory
Skills & Qualifications:
- Educated to Bachelor's degree level or equivalent qualification/relevant work experience (Mathematics, Financial Mathematics, Physics or Statistics is beneficial)
- Experience in a Model Validation or Front Office Quant role beneficial
- Excellent mathematical ability with an understanding of Stochastic Calculus and 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
- Understanding of the mathematical models used, implementation methods, products traded in these markets, as well as the associated risks
Diversity, inclusion and mutual respect are essential elements of who we are. These values define the working environment we strive to create - engaging, supportive and welcoming of different views. We believe innovation stems from intellectual curiosity alongside the right mix of skills and talents. Therefore, we embrace a culture reflecting a variety of perspectives, insights and backgrounds. The company promotes equality of opportunity and encourages the development of all employees to their full potential. We are open to agile working arrangements - talk to us about flexibility and other initiatives we offer.
We are an equal opportunities employer who seeks to recruit and appoint the best available person for a job regardless of age, disability, gender reassignment, marriage or civil partnership, pregnancy or maternity, race (which includes colour, nationality and national or ethnic origins), religion or belief, sex or sexual orientation. We aim to treat all employees in a fair and consistent manner, promote good working relationships to encourage high standards of conduct and performance within a work environment free from harassment, bullying and discrimination.
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