About the job Quantitative Analyst - Derivatives Pricing and Market



Our client is looking for a Quantitative Analyst to join the Market Risk and Derivatives Pricing team within their London office with hybrid working. You would be leading a series of regulatory and risk modelling projects including Derivative Pricing, Market Risk and CVA. To be successful in the role you will have a strong quantitative academic and technical background, a creative approach to work and effective communication skills.




You will use your quantitative modelling skills on a range of projects:

• Model validation and testing of derivative pricing models covering equity, rates, FX, commodities asset classes; working with Front Office quants to create testing plan


• Model build and validation of VAR, stressed VAR and IRC


• FRTB and IBOR modelling

Qualifications and Experience Required:

• Strong quantitative academic background (such as Computational Finance, Mathematics, Engineering, Statistics, or Physics), a PhD or Masters preferred


• Professional Qualification e.g. CQF / CFA / FRM / PRM is advantageous


• Modelling background, including experience in model development and model validation of derivative products pricing, market risk and CVA models


• Significant experience in the application and justification of statistical and numerical techniques and principles of the theory of probability


• Strong experience in any of the following software development environments: Python/Java /C++ / SQL/R/.NET


• Good understanding of Derivative Pricing, Market and CVA methodologies used for the trading, risk management and ideally calculation of regulatory capital requirements


• Experience in FRTB or IBOR transition would be preferred


• Confident and credible communicator with good technical knowledge and commercial understanding

Please find further job openings from Campion Pickworth at https://campionpickworth.com/vacancies/