Front Office Quantitative Analyst
Core
Develop and validate mathematical models for derivatives, notes, and SFTs to support pre-trade pricing and risk management for traders.
Role type
Senior quantitative analyst (derivatives pricing)
Builds
Pricing models and risk assessments for structured/exotic trades
Domain
Investment banking / Derivatives
Deliverable
production ML models
Required skills
Derivatives valuation, mathematical modelling, Murex, XVAs, counterparty risk, regulatory frameworks (FRTB, SIMM, SA-CCR)
Preferred skills
C#, Python, CompatibL
Technologies
Murex, CompatibL, C#, Python
Responsibilities
Analyse and research specific products and their valuation; Initiate and implement mathematical modelling of new derivatives, notes and SFTs; Liaise with traders to ascertain requirements for pre-trade pricing; Support quantification of any trade or business approved by the deal committee forum; Ensure models provide stable risk that is well understood and capture all risk; Build proficiency in usage of pricing libraries and systems used for flow and structured/exotic trades.
Seniority
Senior, hands-on IC