Senior Quantitative Policy Adviser
Reporting to the Head of Financial Markets the Financial Markets Quantitative Adviser/ Senior Analyst will be primarily responsible for the development and verification of pricing models and quantitative processes including those involved in balance sheet management and asset and liability benchmarking.
Key responsibilities:
- Development, verification and maintenance of financial market pricing models and methodologies.
- Quantitative processes including those involved in balance sheet management and asset and liability benchmarking.
- Modelling and analysing information and data associated with global regulatory initiatives, including central clearing/trade repository data, collateralisation and other derivatives, FX and securities data.
- Quantitative and qualitative analysis relating to the Bank’s Strategic asset allocation framework.
- Providing quantitative policy analysis of the Bank’s wider operations including stability and prudential policy from time to time.
- Maintain an awareness of international regulatory developments and how they impact across the various functions of the Reserve Bank.
- Proactively seek ways to improve data generation and information into the Financial Markets and wider bank teams.
- Provide Financial Markets and wider bank teams with a market orientated understanding of the consequences of prudential supervision activity.
- Other duties as required.
Skills Required:
- A strong academic background, ideally to a minimum of masters level, in either mathematics, quantitative finance or a related quantitative subject
- Minimum of 6 years’ experience in quantitative finance facing financial markets from a trading, risk management or product control perspective
- A strong interest in financial markets and well developed understanding of foreign exchange and capital markets
- Experience in pricing and/or valuation of financial products including foreign exchange or interest rate derivatives
- Experience in pricing and/or valuation of structured products or securitisations preferred
- Programming skills in Matlab, VBA, C++, or similar
- A good working knowledge of the global Banking and Securities regulatory environment including the Dodd Frank/EMIR framework, Basel II and/or Basel III
- Well-developed communication skills and an ability to work effectively in a team environment
- The ability to present complex ideas and concepts succinctly and logically
- A clear determination to take ownership of tasks and carry them to completion
Will appoint at either an Adviser or Senior Analyst level and this would depend on skills/experience
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