Pricing Model Quants - Leading Financial Instruments Valuation and Advisory Practice.
We are working closely with the lead partner of a leading financial instruments valuation and advisory practice. The team provides model risk advisory services and financial instrument valuation to the firm’s clients as well as valuation services internally.
The team which has grown significantly over the last 4 years and continues to grow in terms of size, revenue and areas of work and are also well positioned to benefit from the business opportunities created by libor transition.
The team engages in model design, implementation, testing, documentation, validation and review activities to global financial institutions utilising the firm’s global models platform.
The team also values instruments from liquidly traded shares and bonds through to complex derivatives along with the related valuation adjustments.
We have excellent opportunities for pricing model quants with front office or model validation to join the team at senior managerial or director level.
About the role
You will be a quantitative analyst within the London based team working with their existing team of modelling and pricing specialists as well as our offshore delivery centre. The role will offer you the opportunity to work in a fast paced business alongside a team which has grown significantly over the last 4 years and continues to grow in terms of size, revenue and areas of work.
Key responsibilities will include
- Working with their top tier banking clients to deliver large model risk engagements supported by our global platform.
- Providing expert assistance for the team’s testing of clients’ financial instrument valuations, across a wide range of instrument types and product classes, including valuation adjustments.
- Building and/or reviewing internal pricing models for exotic instruments in our library, or other platforms and help the team with on-boarding third party provided models.
- Providing expert assistance to the teams software developers on an existing codebase (Python)
- Leading in areas of business development, practice development and strategy - due to the high growth nature of the business this will be a key component of the role.
On model risk engagements at clients you will take a lead in the below
- Assisting clients across the entire model lifecycle (design, implementation, testing, documentation, validation and review)
- Examining conceptual soundness; reviewing and challenging underlying assumptions, theory, data and limitations of the models.
- Writing detailed, structured and clear model documentation for 1st and 2nd line client projects.
- Performing assessment of model governance, validation policies and control processes and advising best practice approaches.
Essential skills and experience
- A BA, MA, PhD in engineering, physics, maths, quantitative finance or an allied field preferred,
- A deep understanding of derivative pricing including the related XVA’s
- Strong rates asset class experience and related knowledge of the Libor Transition
- Theoretical understanding and hands on experience in developing mathematical models
- Good understanding of model governance including development and validation documentation requirements
- Working knowledge of C++ and Python
- Familiarity with source control, ideally GIT
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