Information:
Job Vacancy Details
Quantitative Research
Investment Banking
City of London
Permanent ⁄ £80000 - £120000
Updated February 1, 2012
This is a rare opportunity to join a highly regarded, Quantitative Research team in Investment Banking in the City of London
The role has a number of main responsibilities:
• The structuring of high-end derivative solutions and products for corporate and institutional clients, as well as pricing and modelling of relevant exotic transactions.
• The enhancement of bank's capability in pricing and risk management of exotic derivative products by developing systematic pricing instruments, with understanding of the logistics in the relevant internal systems.
• Keeping at the forefront of current research in derivatives pricing.
• Managing junior members of the team
Accountabilities and Responsibilities:
• To play a leading role in development of new derivative products and relevant systems, as well as analysis of the risks involved with the introduction of the products, especially Exotic Derivatives
• To assist traders and marketers by giving technical support on the systems for the new products, and analysis of risks involved in the products.
• To assist the Head of London Quant Research Group with the formulation and implementation of plans regarding new tasks delegated to the Derivative Products Division.
Key Performance Measures:
• Quality of modelling derivative products in terms of accuracy and appropriateness of assessment of market risk and its pricing.
• Development and implementation of pricing models and relevant computer systems for the new products.
• Effective working relationship with Front, Middle, Back, Head Office and all relevant departments.
Key Risk Indicators:
• Model Risk and Program Risk to be protected by high standards of mathematical understandings and careful analysis and test of the developed systems.
• To protect the Market Risk, prudent analysis of risk profile and adequate hedge operation are necessary.
• Credit Risk to be protected by trading within counter-party credit limits set by Credit Division.
• Compliance Risk to be protected by ensuring maintenance of high standards of compliance and customer service.
• Reputation Risk to be protected by maintenance of high standards of customer service and awareness.
Who we're looking for
This team is involved in the development of Comprehensive Risk Measures and new methodologies around the calculation of Discounted Cash Flows. Highly regarded and utilised as an in-house consultancy, this team is also suited to those who might want want a more cerebral challenge,as the there is the opportunity to perform academic reviews of models, implement alternative models and challenge the dynamics of existing models.
YOU WILL HAVE:
• First-rate mathematical skills demonstrated by an excellent academic record in a technical subject such as Mathematics, Financial Mathematics or Physics. We would usually expect candidates to have a PhD in such a subject, although we will consider exceptional candidates with a Masters degree or equivalent, or business experience which demonstrates the required mathematical skills.
• Experience working for financial institutions. Most ofyour time should have been spent working on derivatives pricing.
• Strong knowledge of equityis preferred, although we may consider candidates who have specialised in other asset classes.
• Experience in implementing derivatives pricing models, typically gained through working with a front office quant team or a model validation team. C++ programming skills are strongly preferred, although we may consider candidates with experience in other languages.
• Excellent verbal and written communication skills.
• Strong candidates from a pricing m
About our client
Global Investment Bank
What's on offer
££Excellent & bonus & benefits
Michael Page Contact
For further info, apply or phone on 0207 645 1419.
Job Ref: 13153901
Your application will be sent to Jonathan Hartley.
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