AddressJob 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
