Senior Manager - Deals - Pricing Model Quant - London
Providing expert assistance for the team's testing of clients' financial instrument valuations, across a wide range of instrument types and product classes, including valuation adjustments.
Building and/or reviewing internal pricing models for exotic instruments in Numerix, or other platforms and help the team with on-boarding third party provided models.
Providing expert assistance to the teams software developers on an existing codebase (Python & .Net)
Leading in areas of business development, practice development and strategy - due to the high growth nature of the business this will be a key component of the role.
Assisting clients across the entire model lifecycle (design implementation, validation and risk)
Examining conceptual soundness; reviewing and challenging underlying assumptions, theory, data and limitations of the models.
Writing detailed, structured and clear model documentation for 1st and 2nd line client projects.
Performing assessment of model governance, validation policies and control processes and advising best practice approaches.
A PHD in engineering, physics, maths, quantitative finance or an allied field preferred, BA and MA holders will also be considered
Strong people management and client relationship skills.
Creativity and problem-solving skills in individual, team and collaborative consultant-client settings.
Strong analytical skills and attention to detail but tempered with an ability to think laterally.
Excellent communication skills and the ability to present complex issues in a clear and articulate way to a non-technical audience.
Ability to multi-task across multiple assignments, prioritise workloads and work under time pressure.
A deep understanding of derivative pricing including the related XVA's
Theoretical understanding and hands on experience in developing mathematical models
Good understanding of model governance including development and validation documentation requirements
Good working knowledge of C++ and/or Python
Familiarity with source control, ideally GIT
Familiarity with MATLAB & VBA preferred
Previous experience using Numerix is desired but not a prerequisite
Our Deals business is an exciting, fast-paced and an ever-growing business that focuses on deals and crisis situations for our clients. Collectively, we deal with the types of situations you hear about regularly in the news and we provide support, insight and analysis to the management, shareholders and financiers of business.
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