Assistant Vice President, Quantitative Analyst recruitment

Reporting to

QAG Lead

Company overview

Markit is a leading, global financial information services company with over 2,300 employees.  The company provides independent data, valuations and trade processing across all asset classes in order to enhance transparency, reduce risk and improve operational efficiency.  Its client base includes the most significant institutional participants in the financial marketplace. For more information, please see www.markit.com

Department

Quantitative Analytics Group, Portfolio Valuations

Department overview

Markit Portfolio Valuations provides an independent, post-trade valuation service to buy-side institutions globally, covering vanilla and exotic derivatives, cash instruments and structured notes across all asset classes. The service also offers clients the ability to receive an aggregated set of counterparty marks for their trades.

The Quantitative Analytics Group is responsible for researching and implementing the pricing models and other complex analytics used by Portfolio Valuations and other areas within Markit.

Position summary

Taking ownership of research and development for complex structured products valuations.

Duties accountabilities

The role involves support for, and enhancements to, our existing multi-factor and multi-asset dynamic models used for valuation of complex structured notes.

The tasks will range from implementing improvements to local volatility construction, to putting in place a generic control variate framework. Part of this will involve working closely with Portfolio Valuations product specialists and assisting them in responding to client queries.

Business competencies

Education and experience

• PhD or equivalent in quantitative subject (physics, computer science, mathematics).

• Deep understanding of fundamental mathematics, probability, stochastic calculus.

• Strong problem-solving abilities.

• Sound grasp of at least one mainstream programming language, including previous coding experience.

• Good knowledge of the basis of computer science and numerical calculus.

• Previous experience in exotic option pricing is advantageous, but not required

Personal competencies

Personal impact

• Ability to work in a fast-moving environment with multiple goals and tight deadlines.

Communication

• It is crucial for the candidate to be able to explain complex quantitative problems in terms understandable to our product specialists and potentially clients.

Teamwork

• Ability to be productive within a team as well as independently