Quant Risk Analyst – Interest Rates recruitment
The candidate will need a very strong mathematical pedigree, ideally Masters or PhD in quantitative finance or similar mathematically focused quantitative discipline.
The roles main focus will be on the development and maintenance of pricing models (including the implementation of pricing libraries) for vanilla OTC Derivatives (Interest Rate Swaps) and the quant analytics that support their risk management. Experience in Model validation and VaR methodologies will be essential (Historical VaR - non parametric) as will an in depth understanding of Interets Rate Swaps and the various ways of pricing them. Candidates with a wealth of exotic options pricing knowledge and focus will not be right for the role as the products are all Vanilla and the only potential product evolution will include swaptions next year.
As such, candidates will need very strong stochastic calculus, time-series analysis and quantitative modelling skills, backed up with a solid conceptual understanding of key Interest Rate Risk factors such as model risk, basis risk, re-pricing risk and some exposure to yield curve risk. Options pricing expertise is not necessary, so Black Scholes and even Heath Jarrow Morton modelling are more a nice to have than a pre-requisite for the role.
What will be critical is a solid grasp of fundamental concepts around the 'term structure of interest rates', yield curves and their relationship with time to maturity, as well as duration convexity and the impact of stress testing parrellel shifts in the yield curve. In addition it will be important that candidates have detailed understanding of VaR modelling, and the implications of using a non-parametric approach on the data set and the subsequent probability distributions.
There will be a need for strong excel VBA skills, and although C++ is a required skill for the role - it is not essential to have upfront experience as there will be training offered. The key here is the quantitative skills set over and above the C++ programming skills.
Empiric Solutions were established in 2005 and are one of the foremost providers of niche and specialist recruitment services within IT, Finance and Industry and Commerce globally. In December 2010, we became a Virgin Fast Track 100 company for the second consecutive year (3rd Fastest Growing company 2009).