Front Office Quantitative Analyst - Inside IR35
Location: London
Contract Type: Initial 6-month contract, with potential for a 2 to 3 year role
Working Arrangement: 3 days in the office per week
Overview
We are seeking a highly skilled Front Office Quantitative Analyst to join the team. This role involves working on valuation models for various financial products, ensuring compliance with new UK regulations that mandate good governance around models.
Key Responsibilities
1. Model Development and Validation:
* Develop and validate models for pricing swaptions, Bermudan options, Constant Maturity Swaps (CMS), equity exotics (equity barrier options), inflation vanilla swaps, and Credit Valuation Adjustment (CVA).
* Perform initial model testing and convergence testing to prove model performance.
* Continuously monitor model performance and set up automated testing processes.
2. Documentation:
* Write comprehensive model documentation as part of the validation process.
* Ensure all documentation meets regulatory standards and internal guidelines.
3. Collaboration:
4. Work closely with model developers and model owners to identify and close gaps in existing models.
5. Engage with stakeholders to understand their requirements and provide ...