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| Reference | VAC-22321 | |
| Sector | Accountancy, Analyst Jobs , Finance Manager Jobs | |
| Salary, Benefits & OTE | excellent | |
| Town/City | London, Paris, Zurich, Dublin | |
| Locations | Europe, Luxembourg, South East, Switzerland, UK | |
| Job Type | Permanent | |
| Date Posted | 23rd May | |
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| Rates Quantitative Analyst – Derivative Pricing & Risk Role Purpose: The Rates Quantitative Analyst – Derivative Pricing & Risk will be responsible for the delivery of the accurate OTC derivative valuations for interest rate instruments. Key to this delivery will be the review of mathematical models & model inputs. Principal Accountabilities: Assisting in the development and testing of quantitative models. Highlight any model related complex instruments valuation issues with proposed solution & suggest remedial action as necessary. Provide direction & support to project team members, either directly or indirectly as is appropriate to the incumbent’s background & area of expertise. Ability to understand the risk in the valuation process and address and document these risks. Provide technical pricing skill-set into strategic pricing & risk project to ensure complex client requirements are met. Provide necessary support to ad-hoc client request and deadlines in relation to OTC and complex instruments valuation. Ability to understand the use of OTC instruments and their valuation challenges across different trading strategies and markets. Ability to communicate with non technical staff and clients issues in relation to OTC instruments valuation. Ability to address quantitative internal and external audit queries or points. Knowledge & Experience: PhD, University degree . Masters in business, finance, mathematics or related field. Ability to reserve engineer derivative valuations & value from first principles. Proven experience in Trading, Quantitative Valuation or similar role. Detailes knowledge of yield curve construction, LIBOR, OIS curves. Knowledge of different bootstrapping methodologies. Experience with interpolation methods, linear, quadratic. Knowledge of Interest Rate instruments such as IRS, Swaptions & Caps. Detailed knowledge of pricing models used, Black 76, data used for calibration volatility surfaces & interpolation for off market products. Ability to communicate effectively across multiple skill-sets / departments. Experience working with globally diverse teams. |
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