FX Quantitative Analyst

  • Competitive + Bonus + Benefits
  • London, England, United Kingdom
  • Permanent, Full time
  • ITS-City Ltd
  • 14 Jan 19

FX Valuation IPV Methodoogy Quantitative Analyst urgently reuired at leading Investment Bank.

City Investment bank require a Senior VP level Quant Analyst for their growing IPV Valuation & Methodologies team.

You should have 5+ years similar experience that covers Pricing Models calibration for FX Options Derivatives products (client will also consider Interest Rate Exotics, Inflation IR Hybrids products).

Working in close collaboration with the IPV team, Front Office Quants, Finance Product Controllers, Model Validation Quants, Market Risk and Traders to address the valuation issues and model calibrations on the bank's vanilla and derivative trading portfolios

The client expects you to be able to review from valuation side the new model/product combination as well as develop independent libraries and valuation methodologies (using Python). This requires combined knowledge of Interest Rate term structure models (their usage and limitation, etc), IR and FX exotic products (their risk profile and pricing) and market (how products are traded/quoted, and existence of market basis between different products, e.g. CMS swap and Swaption).

You are likely to come from Valuations or perhaps Model Validation or Front-Office background.

You will be given the chance to have influence and define your role within the team. You will be tasked with the development of new models & methodologies, fair value principles and term structure models

Contact I.T.S City

To talk directly with us to discuss this vacancy and the client, please contact Ben Baxter on:

Email: ben@its-city.com

Direct Line: +44 (0) 203 176 6647

City Investment bank require a Senior VP level Quant Analyst for their growing IPV Valuation