Quantitative Analyst

  • Competitive
  • London, England, United Kingdom London England GB
  • Permanent, Full time
  • Validus Risk Management
  • 31 Aug 18 2018-08-31

The Quant desk is responsible for contributing to the development of Validus risk applications and associated services including project work with direct exposure to Clients and internally to the Strategy team.

JOB DESCRIPTION

 The Quantitative Analyst will be a hands-on person, capable of using and developing Risk and Derivatives Pricing models and will have good knowledge and experience of financial markets, ideally including exposure to OTC FX derivatives.  

The successful candidate will have experience working in a quantitative finance function and will have an excellent grasp of Market Risk and Derivatives pricing.  They will be experienced in multiple programming languages (particularly Python, R and SQL) and ideally have experience of Jupyter Notebooks. They will likely have worked in banking/fund management and are a self-starter professional capable of working within an ambiguous context. 

RESPONSIBILITIES

  • Development of strategies for complex quantitative problems using approaches such as mathematical optimisation, numerical methods, stochastic calculus and statistical analysis including Monte Carlo simulation;
  • Providing quant resource to a broader Strategy team, more specifically modelling and analysing risk mitigating strategies for internal stakeholders and clients;
  • Quantifying, measuring and managing clients market risk exposures using different tools i.e. VaR, stress test, sensitivity analysis and probabilistic analysis;
  • contributing towards the development of cutting-edge tools and systems to enhance Validus's trade reporting, analytics and risk management capabilities;
  • Providing guidance and support to the Technology Development team on risk and financial markets matters
  • Ensuring that the model documentation is complete, comprehensive and correct;

 

ESSENTIAL SKILLS, EXPERIENCE AND QUALIFICATIONS:

  • OTC Derivatives pricing experience, ideally including exposure to FX derivatives
  • High degree of understanding of Market Risk models, concepts and terminology.
  • Experience with Stochastic Calculus and Monte-Carlo simulations
  • Exceptional Python (preferred), R and SQL programming skills
  • Professional experience (>3yrs) in financial markets
  • Excellent analytical and problem-solving abilities
  • Inquisitive nature, ability to ask the right questions and escalate issues
  • Excellent communication skills (written and verbal)
  • Risk & control mindset
  • Teamwork oriented

 

DESIRABLE SKILLS, EXPERIENCE AND QUALIFICATIONS:

  • Industry experience in quantitative finance.
  • Master degree in a quantitative discipline like Mathematics, Finance, Computer Science or similar
  • Experience with derivatives risk systems or other systems based on the application of financial models
  • Familiarity with probability, statistics, numerical methods, mathematical optimization and time series analysis
  • Familiarity with quantitative finance and OTC trading
  • Familiarity with Jupyter Notebooks

 

ABOUT THE COMPANY

Validus Risk Management is an independent market risk advisory firm specialising in the management of currency, interest rate and commodity price risk.

We work with companies to design and implement strategies and processes to measure, manage and monitor financial risk, using a market-tested combination of specialist consulting services and innovative risk technology.

Our systematic financial risk management methodology has been designed to increase risk transparency, create customised risk management solutions, and facilitate the efficient execution of hedging transactions by minimising information asymmetry between clients and banking counterparties.

The Validus Risk Management advisory service gives our clients access to the latest risk management technology and independent expertise at a fraction of the cost of an in-house financial risk management function. Validus works with a range of companies across the globe, from SMEs to multinational corporations, as well as pension funds and leading alternative investments funds (Private Equity, Secondaries, Private Debt, Real Estate) with combined AUM in excess of $2tn. Validus arranges and advises on over $90bn in hedging transactions annually.