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Pricing - Quantitative Analyst

  • : £75,000 - £100,000
  • : Permanent
  • : London
  • : Consultancy

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Pricing Models Quant Modelling



Job Specification

Are you a Quant with experience of implementing Pricing Models?

We are currently working with a leading consultancy who are looking for a Senior Manager to join their financial instruments valuation and advisory team. This team provides financial instrument valuation, valuation governance and model risk advisory services to the firm’s clients as well as valuation services internally.

You will be a Senior Manager working with an existing team of modelling and pricing specialists within the London based team. This is a fantastic opportunity to work in a fast paced business alongside a team that has grown significantly over the past year and is forecast to continue this growth both in size and new areas of work.

Your key responsibilities will include:

  • 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 Numerix, 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 & .Net)
  • 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.

As a Senior Manager you will take a lead in the team’s banking model services proposition, including

  • Assisting clients across the entire model lifecycle (design implementation, validation and risk)
  • 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

This role would be ideal for someone with:

  • A PHD in engineering, physics, maths, quantitative finance or an allied field preferred, BA and MA holders will also be considered
  • Strong people management and client relationship skills.
  • Creativity and problem-solving skills in individual, team and collaborative consultant-client settings.
  • Strong analytical skills and attention to detail but tempered with an ability to think laterally.
  • Excellent communication skills and the ability to present complex issues in a clear and articulate way to a non-technical audience.
  • Ability to multi-task across multiple assignments, prioritise workloads and work under time pressure.
  • A deep understanding of derivative pricing including the related XVA’s
  • Theoretical understanding and hands on experience in developing mathematical models
  • Good understanding of model governance including development and validation documentation requirements
  • Good working knowledge of C++ and/or Python
  • Familiarity with source control, ideally GIT
  • Familiarity with MATLAB & VBA preferred
  • Previous experience using Numerix is desired but not a prerequisite

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