Quantitative Analyst, Interest Rates, FX recruitment
You should have 4+ years similar experience that covers Pricing Models calibration for Single Currency Interest Rate Exotics (Callable Libor Exotics, Spread Option and Mid-curve options, Volatility Bond and Ratchet, etc), IR Hybrids Exotics (PRDC and other long-dated FX options, IR/Equity hybrids, IR/Equity hybrids, etc), Short-dated FX products (Barrier options, Var/Vol swaps, etc) and Emerging Markets.
Working in close collaboration with the IPV team, Front Office Quants, Finance Product Controllers, Model Validation Quants, Market Risk and Traders to address the valuation issues and model calibrations on the bank's vanilla and derivative trading portfolios
The client expects you to be able to review from valuation side the new model/product combination as well as develop valuation methodologies. This requires combined knowledge of Interest Rate term structure models (their usage and limitation, etc), IR exotic products (their risk profile and pricing) and market (how products are traded/quoted, and existance of market basis between different products, e.g. CMS swap and Swaption). With the first two being most important.
VBA, Matlab, functional C/C++ would be an advantage
You are likely to come from Valuations or perhaps Model Validation or Front-Office background.
The client is undertaking a multi £m project of change within valuations in response to market conditions, to bring it closer to the business
You will be given the chance to have influence and define your role within the team. You will be tasked with the development of new models methodologies, fair value principles and term structure models