Global Markets Quant & Valuation Analyst

Job Title

GM Quantitative Analyst

To provide a quantitative service to Global Markets Trading and Structuring by valuing and providing a risk management service for exotic trades, performing ongoing research and development and developing quantitative solutions for a variety of Global Markets issues.

- Analyse and research specific products.

- Initiate and implement mathematical modelling of the trade in line with given requirements.

- Provide Traders and Structurers with functionality so that they can use the model (depending on urgency, liaise directly with Traders).

- If prices differ vastly, provide ongoing checking for relevance and alignment.

- Support any trade or business approved by the DCF.

- Model the pricing and run standard and VAR stresses on the model and its output prices.

- Provide information to Market Risk, as well as base validations of trades to the accounting systems and downstream feeds to various other internal systems.

Treasury to enable them to:

- access source data needed to determine a price for a given point in time and

- provide functionality that allows them to value and produce risk sensitivities for various instruments in their chosen asset classes

Perform ongoing research and development into:

- Pricing of exotic trades and hybrid derivatives

- Dual curve construction for collateralisation

- Index construction

- Efficient numerical methods

- On a project-by-project basis, engage with whoever has requested the model and maintain continuous engagement throughout the process.

- Formally engage with Risk and Compliance to validate the model and provide a document detailing the finalised model and its underlying methodologies, strengths and weaknesses.

- Engage with the DCF on an ad hoc basis to provide them with comfort around the model, propose market norms and identify down-the-line issues.

- Build professional working relationships with all stakeholders, displaying abilities to communicate at all levels.

- Find opportunities to leverage relationships and share knowledge.

Self-management:

- Demonstrates pride in the organisation's brand, services and products by consistently delivering on the brands promise

- Drive best-in-class solutions and practices

- Follow through to ensure that personal quality and productivity standards are consistently and accurately maintained

- Stay relevant and up-to-date with legislations and new development

- Maintain a positive attitude and respond openly to feedback

- Handle stress in ways that do not negatively impact others

- Plan and manage own workflow, anticipating obstacles, juggling priorities and following through on objectives within agreed time-frames and according to quality standards

- Take ownership of personal career development, leveraging formal and informal opportunities

- Accurately reads situations and organisational realities

- Able to set aside personal agenda for the greater good

- Act in an ethical, transparent and morally defensible manner, including highlighting unethical practices.

Teamwork:

- Continually share, debate and communicate learning's

- Flag and debate issues constructively

- Promote a friendly, co-operative climate, understand group dynamics and apply appropriate facilitation techniques in working with others to achieve collective goals

- Skilled at mentoring/coaching others and resolving conflict

- Post-graduate qualification in Mathematical Finance or another quantitative discipline

- 2-15 year's financial services, preferably banking experience

Technical Pre-requisite

- Sound knowledge of financial instruments with expert knowledge of the pricing principles underlying these

- Strong financial modelling and coding skills

- Proficient in Microsoft Office with advanced Excel and VBA

- Knowledge of object orientated languages, e.g. C# and/or Java

- Familiarity with MATLAB and/or Python (advantageous)

Competences

- Analysis and Attention to Detail

- Problem Solving

- Building Relationships

- Decisiveness and Action Orientation

- Verbal and Written Communication