Pricing Model Quant Manager/Senior Manager
Who we're looking for:
Are you a pricing model Quant with experience in the Front Office 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 Market Value Direct team - the firm's financial instruments valuation and advisory team.
About the role
Key skills, qualifications and experience required:
Experience of working in a FO pricing quant team in an investment bank
A deep understanding of derivative pricing including the related XVAs
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/or Python
Familiarity with source control, ideally GIT.
Familiarity with MATLAB & VBA preferred
A PhD in engineering, physics, maths, quantitative finance or an allied field preferred, Bachelors and Masters degree holders will also be considered
Previous experience with using Numerix is desired but not a pre-requisite
Well organised and able to prioritise workload
The Market Value Direct team is part of the Valuations practice. It provides financial instrument valuation and model governance advisory services to the firm’s clients as well valuation services internally within PwC. The MVD team values instruments from liquid traded shares and bonds through to complex derivatives along with the related valuation adjustments. The team also engages in Model design, implementation, documentation, validation and validation review activities.
You will be a Manager/ Senior Manager within the London based team working with our existing team of modelling and pricing specialists. The role will offer the opportunity to work in a fast paced business alongside a team which has grown significantly over the past 12 months and is forecast to continue to grow, both in size and new areas of work.
Key responsibilities will include:
Provide 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
Build and/or review internal pricing models for exotic instruments in Numerix, or other platforms and help the team with on-boarding third party provided models
Perform a senior role in the team’s banking model services proposition, including:
Assisting clients across the entire model lifecycle (design, implementation, validation and risk)
Examining conceptual soundness and 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 assessments of model governance, validation policies and control processes and advising on best practice approaches
Providing expert assistance to the team’s software developers on an existing codebase (Python & .Net)
Lead 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
Opportunity for working from home? (When not on client based projects)
Opportunity for job sharing? (No)
Need to travel/overnight stays away from home (Sporadic short trips as projects require)
Opportunity for flexible working (hours)? (Yes)
Amount of time PwC office based (50%)
Strong people management and client relationship skills including inter-personal sensitivity, influencing and negotiation skills.
Ability to develop good client/internal client handling skills, including relationship-building that leads to increased consulting opportunities.
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
Ability to deliver high quality written work
Excellent communication skills - ability to present complex issues in an clear and articulate way, often to a non-technical audience
Ability to multi-task across multiple assignments, prioritised workloads and work under time pressure
Ability and willingness to coach and manage junior members of staff, including staff in offshore locations
Self-motivated and able to work on their own initiative
Flexible and a team player
Numerate and fluent English language skills
Be able to deal with all levels of staff in a straightforward and professional manner
Able to establish, build and maintain a good working relationship with all colleagues