Front Office Quant Analyst - Valuations

Front Office Quantitative Analyst - Inside IR35

Location: London
Contract Type: Initial 6-month contract, with potential for a 2 to 3 year role
Working Arrangement: 3 days in the office per week

Overview

We are seeking a highly skilled Front Office Quantitative Analyst to join the team. This role involves working on valuation models for various financial products, ensuring compliance with new UK regulations that mandate good governance around models.

Key Responsibilities

• Model Development and Validation:

  • Develop and validate models for pricing swaptions, Bermudan options, Constant Maturity Swaps (CMS), equity exotics (equity barrier options), inflation vanilla swaps, and Credit Valuation Adjustment (CVA).
  • Perform initial model testing and convergence testing to prove model performance.
  • Continuously monitor model performance and set up automated testing processes.

• Documentation:

  • Write comprehensive model documentation as part of the validation process.
  • Ensure all documentation meets regulatory standards and internal guidelines.

• Collaboration:

  • Work closely with model developers and model owners to identify and close gaps in existing models.
  • Engage with stakeholders to understand their requirements and provide solutions.

Requirements

• Quantitative Skills:

  • Strong background in quantitative finance, with experience in valuation models for non-linear payoffs.
  • Expertise in at least one of the following: swaptions, Bermudan swaptions, FX options, equity exotics, inflation swaps, or CVA.

• Technical Knowledge:

  • Ability to define models, write down equations, calibrate models, and implement them effectively.
  • Familiarity with the tricks and techniques used in model implementation.

• Experience:

  • Previous experience in a Front Office environment is preferred.
  • Proven track record of producing high-quality model documentation.

• Interpersonal Skills:

  • Strong communication skills to explain complex models and their implementation.
  • Ability to work collaboratively in a team-oriented environment.

Interview Process

• Stage 1: Initial 1-hour interview to assess quantitative skills and model knowledge.
• Stage 2: Detailed discussion on one specific model, including definition, calibration, and implementation steps.

Application Process

If you are interested in this opportunity and meet the requirements, please submit your resume and a cover letter detailing your relevant experience.