Quantitative Analyst Derivatives
Eden Recruitment
Dublin, Dublin City Centre
Quantitative Analyst Derivatives. The Quantitative Analyst – Derivative Pricing & Risk will mainly be responsible for the accuracy of the output of OTC derivative valuations from the in-house valuation platform. Key to this delivery will be the review, configuration and test of off-the shelf pricing models as well as model inputs. Responsibilities: Assist in test and configuration of new valuation models and their periodic validation. Review and formulate market data requirements and market data quality controls. Build strong relationships with key stakeholders and departments. Highlight any model-related valuation issues with proposed solution & suggest remedial action as necessary. Provide direction & support to IT development team. Understand and communicate the risk in the valuation process and address and document these risks from the perspective of general best practice. Management of mutual expectations from interaction with other areas (e.g. IT, Global Markets Quants. Provision of direction & support to project team members. Development of deep understanding of Calypso configuration of pricing-relevant functionality. Support of investigation of valuation issues escalated by Valuation Controllers. Awareness of IT release approach for changes to the Calypso platform. The position requires a combination of modelling & product knowledge and interest software configuration. Experience Required : 3rd level degree in a finance, economics or a numerical subject. Relevant experience in a closely related role. Demonstrate technical knowledge in financial instrument pricing, popular approaches and related assumptions as well as their practical limitations. Good understanding of recent industry developments affecting modelling. Ability to reverse-engineer derivative valuations & value certain structures from first principles. Ability to communicate effectively across multiple skill-sets / departments and globally diverse teams. Interest in programming for development of prototypes and efficiency gains would be. Insight into broader issues relating to structured securities would be a desirable. This job originally appeared on RecruitIreland.com.
2254 days ago