Pricing Model Validation Pricing Model Validation …

in London, United Kingdom
Permanent, Full time
Last application, 30 Nov 20
in London, United Kingdom
Permanent, Full time
Last application, 30 Nov 20
Posted by:
Lisa d'Enquin • Recruiter
Posted by:
Lisa d'Enquin
Our client is one of the world’s leading financial groups. They have a global network with 1,100 offices in over 40 countries. The Group has over 140,000 employees, offering services including corporate banking, commercial banking, retail banking, wealth management, investment banking, capital markets, personal and corporate trust, and transaction banking. They conduct securities business internationally through its overseas subsidiaries. With each member of the group working in partnership with one another, they provide best in class service and products to corporate and institutional clients.


Overview of the Department/Section

The Front Office Solutions department (FOS) supports the trading, sales and risk departments across all asset classes in London, New York, Hong Kong, and Singapore.

FOS-QRD (Quantitative Research and Development) is a team charged with the development of models, pricing tools and system integration of all exotic models used in the firm, on all asset classes. Their products support the trading and risk functions of several different desks via in-house developed applications run on traders’ desktops, compute grids and external cloud compute fabrics. This role is based on the London trading floor.

The role sits in the QRD modelling team, which covers various aspects such as:

  • New model developments and improvements
  • Front office support (pricing spreadsheets, pnl investigation)
  • Interaction with middle office (regarding Totem submissions, model testing, validation, documentation)
  • Front office reports enhancement (eg. pnl explain reports)
  • Main assets covered by the team are Rates Exotics, FX Hybrids and Equity Derivatives


  • Improve the quant tools used by the traders (such as Excel spreadsheets, PnL reports analysis)
  • Improve the quant tools and reports used by middle office (such as Totem submissions, model regression tests)
  • Help developing new payoffs for the business (implementation & testing)
  • Help pushing out new models and new features in production (testing, model validation, documentation)


  • 2y experience or more
  • Previous experience in a major bank
  • Good communication skills (with front office, with middle office, with IT-quants)
  • Finance products knowledge (eg. swaptions, bermudans)
  • Good development skills (C#/C++)
  • Experience in Excel/VBA
  • High motivation
  • Team player
  • Good communication skills
  • Ability to work under pressure
  • Attention to detail
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