CA CIB UK

Financial director / Consolidation

★★★★★

Quantitative analyst

23 July England - Greater London, London Perm

Key Responsibilities
Ensure correct and robust implementation of the models within the bank’s relevant systems, including dealing correctly with the following aspects of the trade:
-Deal with events that affect the valuation

-Provide relevant risk measures to the system that may go -beyond the traditional “Greeks”

-Optimize the code for fast performance.
Make efforts to remain aware of the relevant modelling, pricing and computing technology progresses.
Discuss and share quantitative and qualitative ideas with other members of the team.
Ensure periodic delivery of new and/or improved quantitative tools, some to be embedded in the bank’s trading and valuation systems
Maintain regular discussions with IT and RM (Market Risk) locally.
Liaise daily with the Trading desks.
Liaise daily with other members of the QR team.
Strategy and Business Planning
Develop mathematical models for derivatives pricing, for well-known contracts, to improve pricing accuracy and risk management, as well as for new contracts to enhance the range offered by the bank.
Ensure that such models are adequate for both pricing and hedging transactions from trade inception to expiration, for example, take into account any market risk, and find strategies to deal with it.
Document and explain models to the risk department if they become used for daily production.
Implement models in numerically stable and fast algorithms.  These algorithms need to be:
efficient and robust

simple to back-test

easy for a trading desk to understand and use.
  Create presentations and provide training on the products and tools developed.


 Management and Reporting
Report to the Head of Cross-Asset quantitative research on an informal basis on the progress of the business and specific issues.
Provide a weekly status report summarizing the week’s achievements.

Counterparties and Clients

Key Internal Contacts


Traders for building and supporting pricers, models and tools.
Structures for rating tools. 
Validation team (MRA) for model validation.

IT for implementation of the pricers into the bank systems.

Key External Contacts

 Not applicable.
 
Systems Used

Internal
Outlook, Office, Intranet, Visual Studio, Scientific Word.

External systems
Internet.
 Legal and Regulatory Responsibilities
Comply with all applicable legal, regulatory and internal Compliance requirements, including, but not limited to, the local Compliance manual and Compliance policies and procedures as issued from time to time
Financial Security requirements, including, but not limited to, the prevention of Financial Crime and Fraud including reporting obligations to the Money Laundering Reporting Officer.
Maintain appropriate knowledge to ensure to be fully qualified to undertake the role.
Complete all mandatory training as required to attain and maintain competence.

At least Masters degree level.