Be part of an esteemed organisation that creates financial and digital solutions that the world now takes for granted.
Overall purpose of role
- Expand, maintain and upgrade existing rates option models used by the trading desks (Black, Short Rate Model, Libor Market Model, SABR) and development of new functionalities.
- Frequently liaise with Rates Options trading on issues ranging from risk management, ad-hoc product analysis, production rollout, desk support and library release.
- Enhance model management through automation and development of new approaches.
- Help transition new products offering on Libor replacement rates.
Key Accountabilities
- Develop and maintain an open and constructive dialogue with colleagues, model owners, validation teams and other external stakeholders on model developments, reviews, implementation, rollout, maintenance and usage
- Document new models to required standards
Stakeholder Management and Leadership
- Provide leadership in project team meetings, guiding participants through actions and achievements and a clear plan on future steps
Decision-making and Problem Solving
- Be creative in solving problems, appreciating the commercial impact of delayed decisions and ineffective progress
Risk and Control Objective
- Ensure that all activities and duties are carried out in full compliance with regulatory requirements
Person Specification
- A keen eye for detail
- Self-starter: motivated and disciplined
- Able to work in isolation and within a team environment, as required
Essential Skills/Qualifications
- Post graduate degree in a quantitative discipline (Mathematics, Statistics, Physics, Engineering);
- Excellent numerical programming ability using C++ and Python
- Strong stakeholder management skills with experience from complex projects
- Track record of producing high quality written communication including results of research and presentations for technical and non-technical audiences
Desirable skills/Qualifications:
- Previous exposure to Rates, Credit and/or FX derivative products and models.