Quantitative Analyst (Derivatives) recruitment
About the job:
Based in the operations team at SWIP, you will be responsible for the design, implementation and support of models and end-user tools for derivatives analysis. Incorporating pricing, valuation, risk and model calibration, the models and tools will support the use of vanilla and exotic derivatives within SWIP. The role will require close interaction with internal customers in trading and structuring, with SWIP IT and with other team members.
Key accountabilities:
* Understand requirements of Front Office and other users of derivatives analytics
* Understand the flexibilities, limitations and data requirements of third-party modelling analytics
* Design and implement appropriate derivatives models, building on third-party analytics where relevant
* Design and implement end-user analysis tools building on derivatives models
* Work closely with IT in order to ensure data requirements are understood and met
* Work closely with Quantitative Developers to specify and validate the implementation of analytics middleware
* Support end users of the models and tools
* Keep abreast of developments in derivatives modelling theory and practice
Skills/experience required:
* Experience designing and building derivatives pricing and risk models
* Thorough understanding of the principles and techniques used for valuing vanilla derivatives (i.e. swaps, vanilla options) across asset classes (interest rate, credit, inflation, FX, equities)
* Expert knowledge of Microsoft Excel, including VBA
* Practical experience of object-oriented programming (e.g. C++, Java, C#, Python)
* Ability to develop and maintain key relationships across all areas of the business
* Degree (minimum 2:1 or equivalent) in a numerate subject
* Relevant post-graduate study is advantageous
* Some specialist knowledge of exotic or structured derivatives is strongly desirable
Competencies:
* Customer focused
* Attention to Detail
* Team player
* Self starter
* Strategic thinking
