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Pricing Model Quant - London

  • Location

    London

  • Sector:

    Financial Services

  • Job ref:

    36379BR

  • Published:

    11 days ago

  • Expiry date:

    04-06-2019

  • Client:

    PwC

About the team

Are you a Financial Engineer with knowledge of derivative pricing? Do you have experience in pricing or model risk in banking? We have an excellent opportunity for you to join our financial instruments valuation and advisory team.

The team is part of the PwC Valuations practice. It provides financial instrument valuation and model governance advisory services to the firm’s clients as well as valuation services internally. The team values instruments from liquid traded shares and bonds through to complex derivatives along with related valuation adjustments. The team also engages in model design, implementation, documentation, validation and validation review activities.

About the role

You will be a member within the London based team working with our existing team of modelling and valuation specialists. The role will offer you the opportunity to work in a fast paced business alongside a team which has grown significantly over the last 12 months and continues to grow in terms of size, revenue and areas of work.

Key responsibilities will include
  • Providing assistance for the team’s testing of clients’ financial instrument valuations, across a wide range of instrument types and product classes, including valuation adjustments.

  • Assisting our clients across the entire model lifecycle (design, implementation, validation and risk).

  • Examining conceptual soundness; reviewing and challenging underlying assumptions, theory, data and limitations of the client’s models.

  • Writing detailed, structured and clear model documentation for client projects.

  • Assisting in performing assessment of model governance, validation policies and control processes and advising best practice approaches.

  • Building and/or reviewing internal pricing models for exotic instruments in Numerix, or other platforms and help the team with on-boarding third party provided models.

  • Providing assistance to the team’s software developers on our existing codebase (Python).

  • We envisage some travel to client sites which may or may not be based in London.

Essential skills and experience
  • A postgraduate degree (MSc/PhD) in engineering, physics, maths, quantitative finance or an allied field preferred.

  • Strong teamwork skills – the candidate must be flexible in his/her work style and be able to work collaboratively with stakeholders and colleagues at all levels.

  • 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.

  • A good understanding of derivative pricing, ideally including the related XVA’s.

  • Theoretical understanding and hands on experience in developing mathematical models.

  • Good knowledge of Python and/or C++.

Desirables
  • Experience in derivative pricing or model risk at a bank.

  • Understanding of model risk and governance in a financial services context.


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.

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

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, as well as those who reflect the diverse nature of our society. And we aim to encourage a culture where people can be themselves and be valued for their strengths. Creating value through diversity is what makes us strong as a business and as an organisation with an increasingly agile workforce, we're open to flexible working arrangements where appropriate.

Learn more here www.pwc.com/uk/diversity