Position summary Markit Portfolio Valuations is looking for an experienced quantitative analyst to work on pricing FX, equity, commodity and hybrid structured notes. The valuations product teams specialise in building quantitative models for pricing vanilla and exotic derivatives across the major asset classes. Owing to the high demand for independent pricing of structured notes, enhancing the existing pricing framework to accurately and efficiently provide valuations on complex structures has become a priority.
Duties & accountabilities• Playing a leading role in the ongoing development of a comprehensive structured product framework, used to price a wide variety of structures across multiple asset classes in potentially large volumes
• Contributing significantly to the design, prototyping and testing of this system, with a focus on the exotic pricing analytics
• Decomposing clients’ structured notes into their basic constituents, using the pricing framework to calculate and validate valuations for these notes and providing supporting analysis
• Providing training, guidance and supervision to other analysts within the team so that they can understand and price structured products for clients
• Meeting clients alongside the sales team to provide technical expertise in structured products, thereby helping to grow revenues in this area
Business CompetenciesEducation and experience
• Strong quantitative track record within the financial markets, with previous exposure to exotics and structured products gained within a bank
• Exotic derivatives market experience relating to FX, equities or commodities, ideally in at least two of the above
• Some hybrids knowledge ( e.g equity/rates, fx/rates) would be very desirable
• Experience with Structured Notes desirable
• Excellent analytical, quantitative and problem-solving abilities
• Very good undergraduate degree in maths/ physics or engineering, probably followed by a Masters or PhD, in a numerical discipline
• Deep practical and theoretical knowledge of mathematical finance and derivatives pricing, such as tree / grid / simulation methods under local / stochastic volatility
• Actual hands-on experience of pricing exotic derivatives and structured products in the market, including features such as barriers, baskets and american / bermudan / asian exercise
• Expertise in Excel, VBA and Matlab
• Please note any credit –related experience will not be considered relevant in this case
Management Experience
• See below
Commercial Awareness
• Either commercial skills ( having actively dealt with external clients to generate revenue) or management skills ( having actively managed a small team, not just mentored) will be required ( e.g. this would suit a front office structurer, or model validation manager) .
Personal competenciesPersonal impact
• Ability to work well within a team environment and to coordinate with the internal product groups who have expertise in specific asset classes
• Highly motivated and eager to take the initiative
• Willing and able to execute hands-on modelling tasks
Communication
• Very strong interpersonal skills required, in order to explain and present the pricing of complex structures inside the team, to other internal groups (e.g. sales) and to clients
