Job Details

The Quantitative Application Division (QAD) within Risk Management Group is responsible for Model Risk Management and has an opportunity available for a new member of the team. This is an excellent opportunity to work with other quantitative and risk specialists globally . Quantitative Applications Division (QAD) is responsible for ensuring the integrity of all derivative pricing models used within trading systems across all major asset classes. In addition, QAD is responsible for the testing of models used for the calculation of prudential capital requirements.
Description:
About the role
QAD utilises a range of analytic techniques including: time series analysis, regression analysis, optimisation, partial differential equations, finite difference methods and Monte Carlo simulations. These are implemented using a variety of computing technologies including: C++, VBA, Excel, Python, Mathematica, MATLAB and R, on Linux and Windows platforms.
Key responsibilities will include:
ensuring the integrity of key financial models used
review and develop models for pricing of derivatives
performing analysis of data and reporting on accuracy and quality
testing the linkages between models and systems
working closely with other members of QAD and other key stakeholders
providing support for other model risk management activities

Relevant experience in a financial institution for a minimum of 8 years and up to 11 years.
demonstrated quantitative skills
understanding of financial markets and familiarity with derivative pricing techniques would be an advantage
C++/OO programming skills