Quantitative Risk Analyst recruitment
Main Duties
The successful candidate would be responsible for:
- Reviewing structured trades and OTC exotic transactions to ensure trade payoffs are correctly structured within exotic trade capture systems and that pricing models are appropriate.
- Assisting more senior members of the team on development of new reserving techniques, or performing observability assessments on illiquid market data.
- Assisting more senior members of the team on application of model controls and calibration.
- Performing monthly pricetesting on exotic derivatives.
- Providing due dilligence work to grant pre-trade approval to front office on new exotics business.
- Providing expert systems knowledge to investigate and remediate issues with commodities EOD PV and risk batches, ensuring that accurate PV and risk was provided to both Trading and Product Control.
Person Requirements
The successful candidate will have a minimum 2.1 class degree in a maths or science degree. Strong preference will be given to PhD graduates or candidates who have completed masters degrees in mathematical finance or CQF. Prior experience working with exotic derivatives would be an advantage but is not essential.
The successful candidate will need to demonstrate an ability to be highly proactive, with the excellent problem solving skills and execution focus needed to thrive in a fast moving front office facing role.
The role requires balancing the importance of facilitating trading activities with the necessity of maintaining a robust control environment. The successful candidate will be able to demonstrate the positive attitude and strong communication skills needed to provide this balance.
The successful candidate will demonstrate a keen interest in understanding complex pricing techniques for exotic derivatives. All candidates can expect to undergo a detailed technical interview where they will need to demonstrate understanding of stochastic calculus and its application in modern derivative pricing techniques.
- If the candidate has prior experience with exotic derivatives then they will need to demonstrate in interview a thorough understanding of the products they have worked with and the mathematics underpinning their pricing.
If the candidate does not have prior experience they will be expected to perform pre-reading on the subject prior to interview and demonstrate a good understanding in interview.