CA CIB UK

Financial director / Consolidation

★★★★★

Quantitative analyst

06 October England - Greater London, London Perm

Summary

Provide a quantitative research function for the activities of the FX business.
Quantitative Research involves defining and implementing mathematical pricing models for both well established products to improve pricing and risk management, and for new products to enhance the range offered by the bank.

Ensure correct and robust implementation of the models within the relevant bank's systems, including dealing correctly with all aspects of the trade providing relevant risk measures to the system.

Key Responsibilities


• Develop code inside C++ analytics library for pricing new products and developing new pricing models in order to improve valuation and risk management of FX options


• Work with the Quant development team to ensure correct implementation of pricing library functionalities in FOX, bank's internal pricing system for FX Options business


• Work with the IT department to ensure correct implementation of pricing library functionalities in Risk Engine and Murex, risk management systems of FX Options business


Strategy and Business Planning


• Ensure that models are adequate for both pricing and hedging transactions from trade inception to expiration, for example take into account any model risk, and find strategies to deal with it.

• Document and explain models to the risk department if they become candidates to be used for mark to market and risk management
support the model risk team in their validation process.

• Implement models for use in the risk management systems (Murex and Risk Engine) and also in the front office pricing system, FOX.

• Assist the trading team in pricing and assessing the risk of complex transactions.

• Assist the back office and other bank support functions in understanding and dealing with more complex transactions.

• Train and present on products and tools developed.

• Research and back-test models / strategies using historical data.

• Support pricing tools and the risk management system from a quantitative point of view.

Master Degree in a Mathematical subject