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Deals - Pricing Model Quant - Senior Manager

Posted: 18 Nov 2020 Closes: 18 Dec 2020
London, London Region UK Competitive
Permanent & Full-time -1496507845

Job description

About the team

Are you a Pricing Model Quant with experience in the front office or model validation department of an investment bank? Are you experienced in the valuation and risk management of financial derivatives and understand model governance? We have an excellent opportunity for you to join our MVD team - the firm's financial instruments valuation and advisory team.

The team provides model risk advisory services and financial instrument valuation to the firm's clients as well as valuation services internally. The team engages in model design, implementation, testing, documentation, validation and review activities to global financial institutions utilising the firm's Global Models Platform. The team also values instruments from liquidly traded shares and bonds through to complex derivatives along with the related valuation adjustments.

About the role

You will be a Quantitative Analyst within the London based team working with our existing team of modelling and pricing specialists as well as our offshore delivery centre. The role will offer you the opportunity to work in a fast paced business alongside a team which has grown significantly over the last 4 years and continues to grow in terms of size, revenue and areas of work.

Key responsibilities will include:

  • Working with our top tier banking clients to deliver large model risk engagements supported by our global platform.
  • Providing expert assistance for the team's testing of clients' financial instrument valuations, across a wide range of instrument types and product classes, including valuation adjustments.
  • Building and/or reviewing internal pricing models for exotic instruments in our library, or other platforms and help the team with on-boarding third party provided models.
  • Providing expert assistance to the teams software developers on an existing codebase (Python)
  • Leading in areas of business development, practice development and strategy - due to the high growth nature of the business this will be a key component of the role.

On model risk engagements at clients you will take a lead in the below:

  • Assisting clients across the entire model lifecycle (design, implementation, testing, documentation, validation and review)
  • Examining conceptual soundness; reviewing and challenging underlying assumptions, theory, data and limitations of the models.
  • Writing detailed, structured and clear model documentation for 1st and 2nd line client projects.
  • Performing assessment of model governance, validation policies and control processes and advising best practice approaches.

Essential skills and experience

  • A PhD in engineering, physics, maths, quantitative finance or an allied field preferred, BA and MA holders will also be considered
  • A deep understanding of derivative pricing including the related XVA's
  • Strong rates asset class experience and related knowledge of the Libor Transition
  • Theoretical understanding and hands on experience in developing mathematical models
  • Good understanding of model governance including development and validation documentation requirements
  • Good working knowledge of C++ and Python
  • Familiarity with source control, ideally GIT
  • Strong people management and client relationship skills.
  • Creativity and problem-solving skills in individual, team and collaborative consultant-client settings.
  • Strong analytical skills and attention to detail but tempered with an ability to think laterally.
  • Excellent communication skills and the ability to present complex issues in a clear and articulate way to a non-technical audience.
  • Ability to multi-task across multiple assignments, prioritise workloads and work under time pressure.

Deals

Our Deals business is an exciting, fast-paced and an ever-growing business that focuses on deals and crisis situations for our clients. Collectively, we deal with the types of situations you hear about regularly in the news and we provide support, insight and analysis to the management, shareholders and financiers of business.
Not the role for you?

Did you know PwC offer flexible contract arrangements as well as contingent work (ie temporary or day rate contracting)?
The skills we look for in future employees

All our people need to demonstrate the skills and behaviours that support us in delivering our business strategy. This is important to the work we do for our business, and our clients. These skills and behaviours make up our global leadership framework, 'The PwC Professional' and are made up of five core attributes; whole leadership, technical capabilities, business acumen, global acumen and relationships.

Learn more here: www.pwc.com/uk/careers/experienced/apply
Diversity

Valuing Difference. Driving Inclusion.

We work in a changing world which offers great opportunities for people with diverse backgrounds and experiences. We seek to attract and employ the best people from the widest talent pool because creating value through diversity is what makes us strong as a business, enabling us to solve important problems and deliver value to our clients. We encourage an inclusive culture where people can be themselves, are valued for their strengths and are empowered to be the best they can be. As an organisation with an increasingly agile workforce, we also support different ways of working offering flexible working arrangements. Learn more here about our work to support an inclusive culture.

www.pwc.com/uk/diversity

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